There are a lot of suggestions in the tech support section of this forum, which you'll need to register your game here to view it.
Some quick suggestions from there though would be to try setting the game's .exe file to compatibility mode for XP SP2 if you are running Vista/Win 7. To do this, go to the directory where you installed the game, right click on Majesty2.exe, left click on properties. Then select the 'compatibility' tab at top, and check the box to set it to XP. (This only works for Vista and Windows 7).
Make sure the game is fully updated to the latest version too (1.3 I think).
If that doesn't help, let us know if it is giving an error, blinks like it is trying to play the opening movie, plays any music for a second, etc. The more details (including your operating system and computer specs), the better we can help.