When I click on it, it starts, and says The Adventure Company...Then goes away. Over and over again

I have no idea but maybe try opening it in a window first to get past the opening screen then full screening it.

If using Windows 7 or 8

Try running it in XP compatibility mode. (If you don't know how to do that, post back)

You might want to add it to the list of DEP exceptions as well - often fixes a whole bunch of issues with games.

in Win7:
Control Panel\System and Security\System
then click "advanced system settings"
then click "settings" next to performance
then goto the data execution prevention tab, click add, navigate to the game exe file and kablooey!