A few things to ensure you did when you installed Tunngle. Step For Windows Vista/7 Users: You right clicked on it and clicked Run as Administrator.You rebooted straight away after installing Tunngle.Your computers firewall isn't blocking Tunngle, it will probably automatically add an exception to Windows firewall. If you are using a custom one you should be smart enough to work out how to add an exception for it.It may be that you need to forward Tunngle's ports. Perhaps this link can help you http://portforward.com/english/applications/port_forwarding/Tunngle/default.htm.
Do you have any of the software listed on thier incompatible sofware page?Tunngle - Compatibility with Third Party Software
How do you reboot??