If you have saved the file before you build the resultant saved build would be in the same place/folder/path where it should be but the engine will say 'cant load whatever.wmp' and you manually close the window.

If you have a script attached to the scene then perhaps the script may have errors, this normally causes the 'close' you describe.

If you have followed the above procedure and have no script but it still closes on you then its possible your system may not support GStudio in its present configuration so ensure you have updated DX and set the App to use the DX calls that your system can display.

Best I can think of off hand...