I have the exact same problem.
I recently installed the game on my PC, which runs on XP SP2, 3.2GHz and 2GB RAM, the game installs fine on any size, but when I run, the game closes itself without any error messages.
I tried using compatibility mode for 95, 98, 2000, NT... There's a difference, the "Loading"/"Please wait" screen appears for a couple seconds, then the game closes the same way. Since there are no error messages, I can't tell what's wrong, but I suspect it is my GeForce 6200. I also tried to disable it on the control panel, but the same occurs.
My friends have XP too, and they can play it without trouble.
Any ideas?
Thanks in advance.