Does nothing occur when you click the Run button (no error or another dialog)? If so, I recommend you to do the following:
1. If you use Windows Vista/2008/7, right-click the WebLog Expert icon and click the "Run as administrator" command. Try to run the server after you started the program such way.
If you cannot run the built-in server, you can also use IIS instead, you can find more information on it in the program help.