Update: now it works. The code is:
% !TeX Program = pdfLaTeX+MakeIndex+BibTeX+ShellExtension
\documentclass{article}
\usepackage{pstool}
\usepackage[utf8]{inputenx}
\begin{document}
\begin{figure}
\psfragfig{trial}{\psfrag{[ev]}{$damn$}}
\end{figure}
\end{document}
I don't know why (that's become an habit) but I had to use a freshly downloaded version of trial.eps (and delete all the auxiliary files). Looks like, differently from epstopdf, pstools doesn't add a suffix and it may ruin the original file (but mostly, I don't know). Now I'm going to try to write something more useful and see what bit of complication breaks it.
Update: I have a preamble loading a few packages and, as Ian Thompson suggested, the only one causing problems is epstopdf, which I didn't expect since pstool's documentation states (p. 2): epstopdf and pstool are compatible, but only if epstopdf is loaded first.
Old question:
I'm working on a simple example taken from a previous question.
I use TeXworks on MiKTeX 2.9 and I'm compiling with pdfLaTeX.
The file trial.eps is in a subfolder named graphicxstuff.

I don't use any macro file, just the commands inside \psfragfig.
The pdf output shows the vector image with selectable text, but [MP] hasn't been replaced by $M_A$!
Also, the image has not been resized.
MWE:
\documentclass{article}
\usepackage[utf8]{inputenx}
\usepackage{graphicx}
\graphicspath{{graphicxstuff/}}
\usepackage[update,prepend]{epstopdf}
\usepackage{pstool}
\usepackage[margin=.5in,parindent=1em]{caption}
\begin{document}
\begin{figure}[h!]
\psfragfig*[width=3cm]{graphicxstuff/trial}{%
\psfrag{[Mp]}{$M_A$!}%
}
\caption{This is the caption}
\end{figure}
\end{document}
Not even
\documentclass{article}
\usepackage[utf8]{inputenx}
\usepackage{pstool}
\begin{document}
\psfragfig{trial}{\psfrag{[Mp]}{A}}
\end{document}
works for me. This time compiling with

(with epstopdf I didn't need to enable the shell extension).
Don't know why (that's an habit by now) but trial.eps seems broken now, irfanview doesn't open it even if it's freshly downloaded from CTAN.
epsfile available for download and add a link to your question? – Ian Thompson Jun 12 '15 at 13:23epstopdfpackage. I have no time to investigate properly now, but will look later if nobody else solves the problem first. – Ian Thompson Jun 12 '15 at 13:45