run windows standalone on windows server 2012

I have a little standalone that I built for windows. I have windows 2012 server on azure and load it to the desktop, when I try to double click it to run nothing happens, no window opens up, nothing happens.
The application is very simple and takes some data off the web and converts it. It runs fine on windows 7 on one of my home computers.

Build settings were windows 64bit.

Why doesn’t it work?

I had to drag it out of the shared folder. Then it worked.