Did you wait several minutes? The CK likes to 'Freeze' when it loads, but it's really still going. Give it like 3-5 minutes and see if it pops up then.
Waited much longer than that

It loads skyrim.esm then about 3% of my new world, then hangs. Been about 10 minutes so far without the percentage moving. It's using about 30% of my 2500k and disk is getting hammered for over 120mb/s, so maybe I just need to wait a very long time.
edit: Nope, it was really hung. Dangit.