[color:"orange"]So I don't suspect its a Directx problem or anything.[/color]
It sounds like a problem with the game itself (the AgentsV term appears in one of the data files in the saved game folders). This may be due to a conflict with some background program during installation or when trying to start the game, or possibly with the CDs themselves (not likely, but there could have been a problem with a batch of CDs that could make a portion of data less readable by some optical drives).
You could try installing the game from a different optical drive, if available, or copying the files off both CDs to the same folder on your hard drive, and install the game from there.
Can you try the file verification procedure described above? I can simplify that a little (using DVDSig, also mentioned above) if required, but that would have to wait until I'm not otherwise using my computer, and can do a clean reinstall of the game.
