having direct x 6.1 installed might help as gf dosnt work very well with later versions. you'll need to downgrade if you have the latest version, 9.
windows 98 is the prefered os for running the game as quite a few people report problems with the game when running under win xp.
also make sure you're running in 16bit colour and not 32bit
get the patch too you'll need it to fix some problems later in the game
actually i just noticed that you only have the demo, forget the patch