First make sure you read the instructions for your game (or the closest game to yours).
Mist doesn't just show a menu when you run it. You have to press the activation key.

Also, lite versions have no menu. Stable and Beta will work but may require that you disable your AntiVirus program.

If you still have issues try disabling any other unneeded programs or install more RAM.
Mist requires 2 GB of RAM to work properly.