It may happen that some of the files are not coping when you are installing the set up so better you reinstall it again and try... or may be some graphic driver problem which are not supported to your game....
All you had to do was, download wma9dmod.dll, put it in the 32 bit and 64 bit system directories (for both types of programs), click/double-click on the file once from both directories to register it into the windows registry, and you are done.
Of course I reached this conclusion after I had this problem, and started reading this thread and searching the Internet. Nowhere was written this clearly. When I concluded this, I did this and I was through.
I already used to keep a copy of wmv9dmod.dll with me, from a previous problem where videos would not work.