Applications open and close without really starting

Often, when I download a 3rd party program (yes, I know, 3rd party, not supported, bear with me) and then try and run it, the program will appear in dock, bounce once or twice, the black triangle will appear and suddenly the program will just close and disappear from the dock. It's happened multiple times. Suggestions as to why it's happening or how I can stop it from happening??

It's weird, because I went back and doublechecked the program's install instructions, and it said to use X11. So I started X11, and it bounced once and then closed itself as well.

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