Yuri's Revenge

I'm having trouble getting Yuri's Revenge to work on Windows 7. If I try to run YR after a fresh installation, the screen will go black for a moment and then return to the First Decade game selection screen. I then tried to run it on the XP Service 3 pack and now when I try to boot it up it says "Please insert the appropriate DVD and restart the application" although my First Decade DVD is -IN- the dvd-rom drive.

What can I do?