Some years ago, I was given a complete version of Baldur's Gate 1 and 2 with expansions as a birthday present. I played BG1 for some time, but lost interest and gave up. A lot of the reason for my giving up was the discovery that my copy of Throne of Bhaal wouldn't run. Going from memory (I currently have uninstalled BG2 to save memory), it said that the version was only for the US, and that (as I'm in the UK) I wasn't able to use it. It's far too late to get a refund or anything, but I was wondering if there was anything I could do to get it to run for me (short of moving to America, which is obviously out!)
I had that problem with the 4 in 1 box set (I'm in Australia)
You need to install BG1, then Tales of the Sword Coast, then the Tales of the Sword Coast International Patch. Then Shadows of Amn & Throne of Bhaal, then the Throne of Bhaal Patch.
Bioware no longer supports the game, but you will be able to get the Patches from Sorcerer's Place.