I had a similar problem with Allied General... Turns out I can't install it in WinXP. If I do, it won't work. But if I install it with Win9x and then just copy all the files to WinXP it works.
This would mean you'd need a Win9x computer to install the game on hard-disk and then copy the installed files (and probably edit a few of them - if there are different drives, different sound and video settings), but it might do the trick (I can't guarantee though).
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