map2dif is an exporter. It doesn't have any interface at all. Basically, when you start it up, you're telling it to do the set of instructions you sent to it. Since you haven't given it any instructions, it just closes. There are two ways to get it to do what you want:
a. Get a program like Quark or Torque Constructor to do it for you. This is easy and highly recommended.
b. Use the command prompt. There are instructions on how to do this
here.
As for installing map2dif, depending on what program you are using, it is different. Torque Constructor automatically sets it up for you. You can get Torque Constructor
here. If you are using quark, follow this
tutorial.
Tutorials for using both Torque Constructor and Quark can be found all over the Internet. I know Quark has video tutorials that cover everything from making a map to exporting it to loading it in Torque. I don't know about Torque Constructor, but it is easier to learn. It also handles 3d rendering a lot better than Quark. If you want complicated shapes like a sphere or torus, Quark is your best bet. Torque Constructor hates them. I use both, and frequently move interiors in progress back and forth between them to do different things.
