I'm having the same problem. I launch the game, Atari and Opening videos play, then it closes to desktop without loading the menu. I can skip the videos by pressing a key or clicking, but it still closes to desktop.
I've tried running the game at the resolutions 1280x1024, 1024x768, and 800x600. Makes no difference, neither do compatibility settings (in fact, changing the compatibility doesn't allow the program to run at all... it can be found under "Processes" in Task Manager, but nothing happens).
I'm in Windows XP and 60 Hertz refresh rate.
I know I've run this game on this very computer a while back, but it's not working now.