That's standard behavior for for command line apps in windows.
Click start -> run and type "cmd" and press enter.
Then navigate to where you have the executable extracted. If you aren't familiar with how to navigate around the command line, you either need to learn, or put clocktweak some where you can find it easily, like c:\users\
The instructions for using clocktweak are here:
https://bitcointalksearch.org/topic/clocktweak-win32-command-line-clockvoltage-tweaking-tool-now-free-9982
If you were looking for a point and click user interface, sorry, you have the wrong program.
M