From what you guys have described, it sounds like something's happening in the background, so it may be a software firewall popping up blocking things. Try alt-tabbing to see if that's the case.
I agree : there seems to be interference.
Personally, before launching SINS (and any other complex game-program), I close, in the Windows XP task-manager, all user-defined background programs (except, of course, the very essential "explorer.exe", which must never be terminated!).
For example, some users have reported that an overzealous Windows Defender can sometimes block access.
You could temporarily set the game program in windowed mode, to see how it behaves, and then revert back to full-screen mode.
Good luck.
