The blip sound, does indeed sound like a program firewall asking permission to launch the program, or worse, saying that the program has been blocked. See if you can spot a message or flashing icon in the system tray area at the time you hear the blip sound.
If you find a program firewall, it might be that its blocking stdrt.exe (the internal name of the game, due to multi media fusuin being used). If you find an entry like that with name: blocked, unblock it, and try again. You can add D:\Knytt Stories to the whitelist too with most program firewalls.