MLDonkey distribution comes with two binaries :
- mlnet.exe is mldonkey itself
- run_mldonkey.exe is a helper utility that launches mldonkey, shows icon in the tray and allows to show/hide mldonkey console window by clicking on that icon
So usually you want to launch run_mldonkey.exe to get mldonkey running and then use web browser or standalone GUI program to control it. If mldonkey doesn't start - first look at the logs (usually mlnet.log in the same folder as mlnet.exe), then try launching mlnet.exe directly from console (cmd.exe) and see what it complains about.
If you want mldonkey to start automatically try running it as a windows service.