This is pretty common. Under the creating a project page, there is a step which is commonly missed which says, Ensure that the Set as Main Project checkbox is selected and clear the Create Main Class field.
Reason: If you don't follow this step, the program will compile correctly, however you won't get the window appearing because the program is happily executing the main class and then exiting.
Fix: You can fix this up by simply deleting the Main.java class by right hand clicking on the item, and then delete. If you recompile the program, you will be prompted with a dialog asking to set CelsiusConverterGUI as the main class for this project, as described in the tutorial.