Minecraft.exe? You downloaded this from minecraft.net? My guess is an anti-virus is blocking it from starting. This is gonna sound silly but try running it as an administrator. Also you don't *have* to download anything to play the game.

Well unless someone comes up with a better idea, if i were in your situation i would try deleting my exe, then disabling my AV, and finally re-downloading the exe on the off chance that my AV might have corrupted the download.

maybe try asking on minecraft forums also?

First to make this easier, if it's not already, put the minecraft.exe onto your desktop.
Ok not sure if this will work but it's an idea, to find out the problem, try starting the client from your command prompt the problem should show up in the prompt.
In case you're not sure how: click start- in the search box type run - type cmd - then in the cmd prompt type "cd c:\users\youruseraccountname\desktop" without quotes and your user account name where i have youruseraccountname and hit enter - type minecraft and hit enter
Lets hope the problem shows up, leave a reply of whatever comes up when you do this, if it doesn't give you an error let us know and maybe someone else will be able to think of something.