Hey Joe! You're PC may be running some kind of malware/virus protection that won't allow it to run. Although usually it'll give you a window prompt. Perhaps try RClicking the executable and "Run As Adminstrator" if that option is available.
Also, remember that the Demo of LMA and the full version are not compatible. So if you've copied over the full version atop the demo or are have copied demo saves over to the full game, it will not run.
Hope that helps!