Isuki: It sounds like you're just moving the files off the "cd" and onto your computer instead of installing. You need to mount the game's iso/cdd/cue/img file that you downloaded in daemon tools and a splash screen for the game should automatically pop up (if it doesn't, autorun is off and you need to go to "My Computer" and double click on the drive you mounted to make it run). When the splsh screen pops up, it should have the option to play or install (and possibly to install directx and uninstall). Let it install to it's default directory (probably in Program Files). Once the game is installed, then you need to go to that folder and find the exe that runs the game and create a shortcut on your desktop from that file.
I also found on
compatibility list that this game won't work very well with AGTH.