IF this happens, do the following:

Before you hit "GO", move the training screen a bit by grabbing the title bar with the mouse, holding down the left mouse button, and slide so the screen moves a little bit.

Then, it will not disappear when you press GO.

This is due to a bug in Windows that thinks it "remembers" that the training screen is supposed to be minimized.

It is fixed in 3.2 and later software.