Crashing
![Grin ;D](https://fodev.net/forum/Smileys/classic/grin.gif)
It's command-line-only application, and by default Windows keep command-line prompt open as long program is running. As you probably just double-click it, it opens, displays help screen, and then Windows hides it, as program is no longer running.
Press WIN+R, type
cmd.exe, in newly opened window type
cd C:\Path\To\Directory\Where\frm2gif\is and then run it.