You should be able to bring up a Console Tab which may give more details.  Also, check to make sure that CGMiner was packaged with the version of GUIMiner Scrypt you downloaded... I seem to remember one of the versions I download didn't have it.  It did the same thing for me... said "Starting..." but never did start, which is because CGMiner wasn't even there!  In the console tab it should say something along the lines of where it is trying to execute CGMiner, so look there and verify it is really there

-Toast