Did you shut down all non-essential programs before starting the game? anti-virus, chat, email, web browsers, audio / video players, screen savers, anything that pops up reminders / updates, wallpaper changers, etc. There are a few processes in Windows XP that are always running, but you don't need to worry about these. In Windows 9x/ME you can shut down everything but Explorer and Systray.
In the configuration program, have you tried Software, Direct Draw and Direct3D modes?
What kind of video card do you have? What version of DirectX?
see also;
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