You don't mention which KM or OS you are using. It probably just didn't load. Or as occasionally happens Windows hickup'd and closed the Loader.
Go to Start > Run > type in "msconfig" w/o the quotes and click OK. Click on the Startup tab and make sure there is a check mark beside the Loader. Click on Apply > OK. Restart the computer.
If it is not listed in msconfig then open your K-Meleon folder which is probably at My Computer > C:\ drive > Program files. Inside the KM folder click on "setdefault.exe" and follow the prompts remembering to select the K-Meleon Loader option.
Hope this is helpful.
Charlie
~~If it ain't broke, why screw it up?~~