Is it a standard Windows program? In this case, it doesn't work with mine either. Same thing happens as I went to run and typed 'progman.exe' in.
Doesn't Windows do the same thing though if you right click an EXE file and go to Compatablity and set it to an earlier version?
If you want the Windows 3.1 interface though, i dont know why it isn't working...
If your into playing old games, DOSBox is a free emulator that emulates dos for instance and so these games will work in Winows XP, and many abandonware games can be downloaded from the internet to play on it: