Perhaps too old a game, assuming you're running in XP or Vista? As the differences between a 9x OS and an NT OS are huge, a lot of apps stopped working in Windows XP and Vista that would run happily in Windows 98/ME (several Need For Speed games wouldn't load up as an example)
Try right clicking the application's shortcut and clicking the "compatability" tab at the top. Then check the box that says "Run this program in compatability mode for:"
In the drop down box choose the appropriate OS, for old games, go with Windows 98 / ME and see if this helps. If using Vista, try using XP Service Pack 2 first. There are other options too that you can play about with to see if you get any desired effects.
This is just a guess, failing that perhaps the hardware in the system is too advanced for the game and thus incompatible.