On some machines/OS' the installer installs a broken Shortcurt or sometimes upon first running the game and updating it, the shortcut will become broken.
Just check the properties of the shortcut. If the field for "Start in:" is blank, enter the path to your PSOBB folder. (For me that's C:\Program Files\Phantasy Star Online Blue Burst)
That should fix the shortcut.
Note: This also is supposed to fix the "Cannot create file 'map_city02_00_00o_s.dat' " problem.