Fix(es)
Ok, well the SIgames forums kinda shoved me through this.
Patch the app.
Play windowed.
If you're running XP - Get the .Net framework update (from Microsoft)
Get the Direct X SDK (from Microsoft)
Try them in this order, I'm not sure which one is the fix but the first two are the least effort. And there was a guy who played one game windowed then was fine running full screen.
If your machine is a bit on the lazy side turn off threading in the preferences.