If you're not using this antivirus but still have the same issue, try analogous steps. If you're facing this issue and use Bitdefender, go to 'Firewall' -> 'Threat Defender' -> 'Online Threat Prevention' and add an 'Online Threat Prevention' exception for the folder you installed the game in. ⚠️ The antivirus software 'Bitdefender' is a frequent cause of the game not opening. You can safely ignore that and close the tab (it just says, 'thanks for using DMM.') The game should now be open.
The first launch might open a DMM website in your browser. From now on, you can also find the game in the 'Myゲーム' tab (meaning 'My Games').