I believe you are selecting Open PGP Desktop from the PGPtray icon, and it is not opening?
It may be helpful if you indicate your operating system, and your PGP version.
I recall something similar with an earlier PGP version that could be resolved by going to the PGP folder of the Start Menu, right clicking on the PGP Desktop icon, selecting Properties, and setting the compatibility tab option of Run This Program As An Administrator.
Can you open PGP Desktop from the Start Menu?
If you are in a PGP Universal managed setting, I believe what you are seeing may purposely be set by your administrator.