Oh, that was a rather important thing to mention.
Windows for some reason is seeing it as an audio CD instead of a game.
Unfortunately, I don't know remember Windows ME and how to change this. However, if close media player, open My Computer, right click the CD drive and select "open", you should be able to get to the setup file to initiate setup manually.
This file could be under a number of different names: launcher.exe, setup.exe, etc.
If you have trouble finding it, post back with what the contents of the CD are and we'll see if we can't figure out. That should get you going at least until someone comes along who knows how to stop Windows ME from doing that.
This probably doesn't happen with your other games because they don't have audio tracks on the CD, so Windows is seeing them like it should.
