Which Windows version and graphics are you using? Such information makes it easier to pinpoint the problem. It's listed as incompatible with certain graphics cards and with Windows 7 for example.
I am on Windows 7, I didn't see that it was incompatible. :( Is there anyway to make it work? I right clicked and checked under compatibility mode and it's set to Windows XP, but that must not have made a difference.
My graphic card is a Nvidea 9800
It's a real pain in Windows 7, but it is possible to get it working. I tried all of the 'fixes' I could find on-line, and none worked. What got it eventually working for me was checking off (as well as XP compat. and run as admin) 'Disable Display Scaling on High DPI settings', even though I don't have high DPI. The issue with this game in Windows 7 seems to be with the in-game videos.