Is this the download from The Adventure Shop
***here***?
Do you have Windows 7, Vista or XP?
Is it 32-bit or 64-bit?
What is your video card? Have you decreased video acceleration for an older game? If so you might have to turn it back up a bit for this one.
Are you running an antivirus with real-time scanning? If yes, it might interfere with the game's installation and when it runs.