If you go into something along the lines of Control Panel -> Clock, Language, Region -> Region and Language (box pops up) -> Administrative -> Language for non-Unicode Program box, it should display something like English (United States) or so. That means you are on an English locale. If it says otherwise, like mine says Japanese (Japan) (which is why I can't play DFO, lazy to change), you won't be able to play.
You can try using DFOCP (DFO Control Panel) if you believe it's a browser problem. I know that I, myself, can't run DFO from Firefox (it keeps prompting me to redownload it) and I just don't like opening Internet Explorer.
[Release] DFO Control Panel - Dungeon Fighter Online forum
It's fan-made, but many people use it. All you really need is to download it, run it and hope it picks up DFO, then enter in as you normally do and see if it works.
Other factors that may be a problem is, when you start up the game, you get the black box, correct? If you click it, it will close. Your best bet is to open up another window after it minimizes everything and wait to see if the game closes or not.