Ok, if you are running Vista and the first time you try to run the game and it crashes before it even asks you about your name and security key you probably have this issue. If you are follow the steps below and it should fix the problem.
Go to Control Panel->System and Maintenance->System (I think you can get
here by doing a View Computer Details too).
Select "Advanced system settings" (User Account Control may kick in and ask
for permission to continue)
On the "Advanced" tab under Performance, Click Settings.
Then select the "Data Execution Prevention" tab.
Select the top radio button "Turn on DEP for essential Windows programs and
(You can also just add the application to the list box below the second
(default) radio button)
Click Apply and OK's to back out, then restart Vista.
Depths of Peril, Kivi's Underworld, Din's Curse, Drox Operative, Zombasite, Din's Legacy, & Drox Operative 2