First, make sure you have a complete installation. First install 2.5SE, then install 3.1 (or whatever) on top of that. That makes sure you have all the files.
To see the exact error that is happening, do the following:
Run the software. Do not press "Run the next session".
Go to My Computer / Local Disk C: / brainm.20
Find the file master30.exe (or master25.exe if you are using 2.5).
Double-click on master30.exe.
Either the training/control screen will appear, or you will see an error message.
If it says it cannot find a dll, then something is wrong with the installation.
Make sure your desktop shortcut is really a shortcut, and not a copy of the file. It should have a little curved arrow on the lower left. If it does not, this may be your problem. Delete that file, and make a proper shortcut to the file c:\brainm.20\bsetup30.exe and use that to run the software.