[newbie] Trouble running programs

[Hopper]

Here's the most frustrating aspect of Linux:

In KDE (or Gnome, etc...), I will sometimes double click on something to start it and 
nothing happens. No error, just nothing. 

One incident involved the distributed.net client. Untarred and unzipped it, intalled 
into the home directory (I was logged in as root) and then double clicked on it. 
Nothing happened. I was quite frustrated. I checked top, it wasn't running.

A while later, I tried running it in the console. It worked fine.

Why would something run in the console, but not under KDE or Gnome? Are many programs 
like this?

Regards,
Nathan