Installed, but can't get it to run

[DON PETERSEN]

Hi,
I am running XP Home with all of the latest patches. I downloaded 
gawk-3.1.3-2.exe. I ran it to install gawk. In C:\Program Files\GnuWin32\bin I 
have gawk.exe, igawk, libintl3.dll, pwcat.exe, grcat.exe, libiconv2.dll, 
pgawk.exe. I read the installation instructions and set TMP, TMPDIR, and HOME. 
When I try running gawk.exe and pgawk.exe from the Run... box, I see a command 
box with a black background flash briefly and the disappear.
What am I missing?
Thanks,
Don