Woops. Meant XP Service Pack 2. I've recently had to use 98 mode for Max Payne 1 & 2.
But on the topic of SA, when I installed a mod that reintroduced a load of stuff that was removed - you needed to run the installer in a different compatibility mode, the mod's installer in a different mode, and then run the .exe in a different mode and run it as an admin.
But OP should try Windows XP Service Pack 2, and set the .exe to "Run as Administrator."