ME Client Component: Nothing on 4444 - stopped

I have installed the ME Client component (AWT) from the Mobile Engine CD (2.1 SP03). However, when I start it from the Start menu or the command line, there is no service starting up on port 4444. The Mobile Engine HTML window that opens up eventually returns the error "Time out 61 - Can't connect to server". Also, on the taskbar, it always says "Stopped". What am I doing wrong? Is there additional configuration that must be carried out? The documentation is not very good at explaining this. I need to get the MDK up and running for development purposes, but understand I first need an installation of ME Client Component.