Citation:
Be careful of a couple of things:
1. Anti-virus, anti-spyware, and firewalls can cause it to close immediately or not open at all
(Add Exceptions (or exclusions) to these programs for shpsobb.exe, online.exe, psobb.exe, and option.exe in the game install folder).
2. Make sure your video drivers are up-to-date.
3. Make sure directx is up-to-date
4. If you're running Windows Vista or Windows 7 make sure you set online.exe and SHPsoBB.exe to run as Admin (by right clicking each respective file and choosing properties and going into the Compatibility tab checking "Run as Administrator".
#4 in the list is the one that seems to fix a large majority of issues for most.
Also, I modified the quote slightly to add more information and for a link to directx.
Many installers create a broken shortcut for online.exe.
Ways to Fix the shortcut to online.exe:
Go to the game install folder, Right click "online.exe", click copy, Go to where you want the shortcut, Right click, then click PASTE SHORTCUT. Then rename the shortcut to whatever you want since it will say "Shortcut to online.exe". It's supposed to be named: Phantasy Star Online Blue Burst.
Alternatively if you just need the shortcut on the desktop: right click "online.exe", click "Send To",
then Click "Desktop (Create Shortcut)". Same issue with the shortcut as the other method. You'll probably want to rename the shortcut.
If you can't type and are running Windows XP follow this guide:
How-to: turn off advanced text services in Windows XP
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