Is it EU or EU2 that you're having problems with? Which version? (SF/Ubi/Vision/Etc.) and which patch?
Most likely cause is an incompatibility between the Binkplayer and XP on many systems so the first thing I'd do is go to your main EU folder and rename the avi folder to avi_old. In 99% of cases this solves the problem.
You should also do a Windows Update and go to the recommended section (instead of the critical section) and make sure you've already downloaded and installed a couple of the fixes there that addressed video ralated issues.
If that doesn't work then I'll need you to give me detailed system specs as to the Read Me sticky at the top of this forum (link also in my sig.).