That seems to be common. After much searching this fix worked Putting it here for future users:
You're installing the Caesar IV game that you purchased from Direct2Drive to your Windows Vista 32bit computer and you see the following error as soon as you attempt to install it:
Not to worry! There is work-around that should allow you to install the game:
Locate the games installation file, by clicking on the "Open Folder" button in the Download Manager. If you didn't download the game using the download manager then browse to your download folder and locate the file:
Once you've located your file, RIGHT CLICK it and from the menu, choose "Properties". You should see a new configuration window open. Click the "Compatibility" tab. (As shown below)
Click the box "Run this program in compatibility mode for:" and make sure that "Windows XP (Service Pack 2) is chosen.
Next click the box under "Priviledge Level" and "Run this program as an Administrator". If you do not see this option then you may not have sufiicient Administration Privileges" on your computer. Please log in as an Administrator.
Once you've selected these options, clcik the "Apply" button and OK to close this window.
Now, click on your CaesarIVv110Setup.exe file again and you should be ready to start the installation.
Follow the instructions on screen to continue with the installation.
You will need to enter your installation key: You can locate this key on your account page on Direct2Drive by clicking the download button. The key is shown on your account page in RED font. Please be sure to enter the key correctly or you will not be able to install the game.
This next step is extremely important!
Windows Vista by default runs with DirectX 10 and files required to play this game for DirectX 9.0c are not by default installed. If you choose not to install this DirectX update will not be installed and you will have issues playing.
Another required component to this game is the installation of the MySQL Connector. Same with DirectX, allow this installation as well as it's required to play!
Once you've completed all these steps you will finally have the game installed.
Once the installation is complete, you will need to activate the game using the activation key located on your Direct2Drive account page next to the Send Info button.