It is very strange that according to what you said, closing the folder (which I read to mean "closing the Windows Explorer window that's showing the contents of the folder) somehow unblocks the launch [edit: did I read that correctly, or is it still "nothing happens" even after closing the folder?]. It almost sounds more like a Windows problem than a NeoLemmix problem. Have you tried running other EXEs from Windows Explorer and see if they have the same problem or not?
You mentioned you don't see it in Task Manager, but to clarify: Task Manager has two views for showing what's running. The tab named "Applications" (or "Processes" in Windows 8 onwards) may only list processes that have visible windows. Whereas the tab named "Processes" (or, confusingly enough, "Details" in Windows 8 onwards) actually lists all processes that have started to run, even those that haven't gotten around to showing any visible windows yet. My point is, I can't confirm from your report with Task Manager, whether NeoLemmix has even started running at all, versus have started but just somehow delayed in showing its window. Obviously a big difference between the two cases: the former would likely be more a Windows shell issue, while the latter is more likely a problem within NeoLemmix.
Based on the weird thing about closing the folder window helping to unblock the launch, here's one workaround that might be worth trying: create a shortcut for the EXE, put the shortcut in a different folder from the EXE, and try to launch through the shortcut instead of directly with the EXE. The idea is that by using a shortcut placed in a different folder from the EXE itself, the thing you need to click and the actual EXE that's getting launched are no longer in the same folder. So I'm hoping this would make your computer behave more like after the EXE's folder window was closed (which you reported somehow unblocks the launch). Admittedly a long shot but I don't have any better ideas at the moment. To create a shortcut, right-click on the EXE in the Explorer window, and select "create shortcut" in the popup context menu.