I bought my game from wal-mart today and have the same problem on my vista box. I started to think it was my cimputer, but then I tried it on my roomates xp box, and he had the same propblem.
Only audio files exist on the CD. Stardock should either include the game in the box, or have a note explaning what to do. I buy games to relax, not stress out trying to install them.
Anyways, my version actually did have a book that had the serial, so iam using impule to download the software.