Can you tell what does happen when you doubleclick on it?
If it is the error above, then for me it was the Logon Pad that did not start together with my SAP GUI session (as we use single-sign on, so no real need for the logon pad and it was disabled because of that).
I was able to solve it by adapting the registry key mentioned above via regedit (Based on note 552646). By setting it to 1, the logon pad then starts even when I use SSO and I am able to doubleclick on my scripts to start them.