Have the same problem :(
I got it to work with 3 changes, not sure which one or the combination worked.
1) Install DX9c, the install fails because it detected a newer version of DX, but it may still contribute to this working.
2) reinstalled using GOG galaxy to c:\GOG\ as the path, keeping the path shorter.
3) installed the GreyFace patch https://grayface.github.io/mm
You can try starting the game after any of these steps, I did all 3 at once and tried and it worked.