This behavior could be caused by several things. In order to fix the problem, update your GPU's (Graphics Processing Unit) driver to the latest version. Also, make sure that you have installed at least DirectX 9 (check the following website for instructions). The game won't run otherwise.
It seems that you are using Windows 7. In this case, you should run the game using compatibility features. To do this, right click on the game's icon from Desktop > Properties > Compatibility and make sure to check Run this program in compatibility with Windows XP. You now should be able to run the game.