Run cmd - to get dos prompt then run setup.exe on the CD (My drive was E

Download the XP compatibility patch - find this on web - it seems to be not on Firaxis site now.
Set Lee.exe to run in XP compatibility
You need the CD to run all the scenarios and the full game, but without the CD you can still play about six scenarios.
Good enough for a quick blast - I found normal speed worked best for me.
I know it's not AACW - but I wouldn't have AACW if it wasn't for this classic old game.