Inspect in registry for following path
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Run, If you see that the entry for MSE is C:\Program Files\Microsoft Security Essentials\msseces.exe -hide, without quotes.
Windows interprets this path as C:\Program Files\Microsoft (there is no C:\Program folder, so it goes to Program Files), and opens that folder instead of launching MSE. Placing quotes around the directory as such:
"C:\Program Files\Microsoft Security Essentials\msseces.exe" -hide