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Ah! I see he is unzipping the files into another directory and then trying to run the game from there. Yes that is the incorrect proceedure. Unzip and overwrite the original files with the new.
Select extract all in your winzip or the one built into Xp, then when it asks you for a path to unzip it to. browse to the HOI directory. (or enter it directly if you know it).
When the program prompts you to overwrite the files, select yes for all.