Make sure you selected a download for the correct operating system, first of all. If you install on Windows, a shortcut should be made on your desktop automatically. If it doesn't, you can create your own by right-clicking on
psclient.exe (you can find it in
C:\Program Files\PlaneShift Crystal Blue by default) and selecting "Send To -> Desktop (create shortcut)". Once you click on it, it should launch the game client.
If you are running into other problems, you might have to follow Neko's suggestion and take a screenshot, because it's a little hard to understand what is going on. Hit the Print Screen button on your keyboard, then paste the image into any graphic editing application (
GIMP is a nice free one). Save it, then upload it to an image host online (
ImageShack) and paste the link you get here.