[Phoenix-D]

Ok, so it dies when you click on the icon. That's..odd. Try uninstalling then reinstalling, only thing I can think of is something went wrong during the install.

You do need the CD in the drive, and yes it does always pop up the installer. That's normal, if stupid. When you click play on the star menu, normally what it does is pop up another menu with a list of things like "Play" "Setup" and a few others.