Well you think that you've clicked on it by opening it and you still waiting like an idiot sitting at the computer waiting for something to happen.
Here's a solution for you:
Click on the START MENU > CONTROL PANEL >
NOTE: If you're in the new Windows XP mode in Control Panel - Click on the Appearance and Themes icon - If you have in the Classic mode then just simply click on the -
FOLDER OPTIONS> Now you see the Click items as follows - go down to the little of Single Click to open an item - and if you want to you can click on one of Underline..... tools --doesn't do much though!
Isn't clicking easy now!?!?!