I take it you are installing from cd... Is the CD readable?

Sounds like the system trying to use a corrupted executable, either due to bad reading or something worse.

Updated info....

Check this article from Microsoft's Knowledge base

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Thanks for your answers,El Pusher.Yes,I tried the installation from the CD;
and the CD seems good because I could install and run in another computer(the said AMD Athlon 2000+,now with Windows 98SE).
About Microsoft´s page,I don´t think to be the problem,because the computer just have one user account,mine,as administrator.(Unless I did some nasty thing,without notyicing).Anyways,I cannot try the Workaround,because it doesn´t install and the progam´s name never appears,just the letter of the drive;and the software manufacturer (Sierra) no longer exists.
So,please,is there something to be done?
Best regards,
So,please,

This Microsoft's knowledge base link as many others, suggest installation may be corrupted.

Thanks for your answer and your time,El Pusher.
I went to the MS´pages "Games:Error Message:Not a valid Win32 application" and "How to perform a clean boot in Windows XP" and followed all the told steps,but I always received the same error message (E:\is not a valid Win32 application) when I tried to install the game.
I also tested the CD ROM and it is fine.
Are there something to be done,please?
Best regards,