Hi,
Had the same problem when i first downloaded CSM, think you have to run it in admin mode, To do this find the CSM.exe file in the folder you installed it to, then right click over the .exe file select Properties then the compatibility tab
Tick the box under Privilege Level, Run this program as an administrator
also i run it in Windows Xp SP2 mode, not sure if thats needed thou ?
I think you have to run GPxPATCH.exe at least once before runing CSM
Am runing Vista by the way, other OS might be a different procedure!
Hope that helps & happy new year