Do you use Windows Vista?
If so, make sure you accept the UAC prompt when you start PokerStars. If you're not getting this prompt, remove any shortcuts you have to PokerStars, and reinstall.
Here is a copy of a template I had for UAC issues when I worked support:
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By default, Windows Vista restricts programs from writing to the C:\Program Files folder when they are running as a standard user. This is fine for some programs, but for PokerStars it's a problem - since PokerStars' updater program needs to be able to write to the C:\Program Files folder to install the latest updates, and PokerStars itself needs to write to the folder to store notes, settings, hand histories, theme files, and so on.
The UAC prompt appears because PokerStarsUpdate.exe is requesting 'elevation' from Windows so that it can write to the C:\Program Files folder. Without this elevation, neither PokerStarsUpdate or PokerStars itself will work correctly.
If you bypass PokerStarsUpdate.exe, you won't get the UAC prompt, but PokerStars won't function as expected because it doesn't have permissions to write to the C:\Program Files directory.
There are two ways around this. First of all, if you find the UAC prompts annoying in general (I know I do), you can 'silence' them while still leaving UAC enabled using a program called 'TweakUAC'. Obviously I should make it clear that PokerStars does not endorse this program and you use it at your own risk:
http://www.tweak-uac.com/
Another possibility is to install PokerStars to a different directory on your machine, such as your user directory:
C:\Users\YOUR USER NAME\Documents\PokerStars
PokerStars won't need special permissions to write to this directory, so it should be able to run properly without requiring UAC elevation. Once more, we make no guarantees that this will work, but it's worth a try.
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Hope that helps.