First, try restarting your computer.
Make sure your graphics card drivers updated to the latest version.
Try running the simulator in a window by adding command line parameters to the .EXE file as described in the manual.
For example:
-screen-fullscreen 0 -screen-width 640 -screen-height 360
If it still doesn't work, try downloading the entire .ZIP file again and unpack it. Try unpacking it to another location (Such as in a new folder in "My Documents" for example).