I had a Sold-Out-Software version (Plus my old Original) and was running Windows XP NT.

I had sound but no-loading videos then game not starting. Tutorial working ok.
I fixed mine like this....As mentioned elsewhere, the registry is what you need to edit.
Mine looked like this...

HKEY_LOCAL_MACHINE / SOFTWARE / Pyro / Commandos / 1.0MP

you'll need it to re-read...

HKEY_LOCAL_MACHINE / SOFTWARE / Pyro / Comma ndos / 1.0MP

This will fix the game starting, it will skip the videos and ask you to insert the CD, but upon clicking CANCEL, will start the game.

Next up, it won't let you save / load
Back to the registry then...

Create a new 'Commandos / 1.0MP' key identical to the 'Comma ndos / 1.0MP' folder in

HKEY_LOCAL_MACHINE / SOFTWARE / Pyro / Commandos / 1.0MP

Just create a new 'DirIns' String identical to the other folder and a DWORD 'Type' as in the other folder.
Don't create a 'DirCd' though in this folder.

That should do it. I'm guessing it uses both folders, the one works for running the game, the other for Loading and Saving

Really hope this fixes it for you, Good Luck

P.S Patch the game first and this fix works for Windows7