Okay. Have you gone to Dell's site to confirm that the drivers are definitely current?
https://support.dell.com/register.aspx I had a quick look there but couldn't locate the model number you posted so I couldn't check what they think are the current drivers for your sound and video.
When you run the various DirectX diagnostic tests do you get any sort of errors reported there?
Do you have any other peripheral devices attached that might somehow be interfering? I'm thinking of things like external USB devices, joystick, etc. that might be charing the same IRQ. Do you have any unnecessary TSRs running in the background by any chance?
Am I correct in understanding that you have this same problem whether you just insert the CD and press "play" on the autorun pop-up or whether you use the desktop icon to launch it?
Do you get any signs whatsoever of any progress in loading? Does the screen shift to full-screen black, does it flicker at all, or does it fail to launch anything at all other than to spin your CD-ROM? You might try disabling autoplay on the CD-ROM in case there's a strange error occuring there.
One last series of questions (for now

)...did you use the default installation path (C:\Program Files\Strategy First\Europa Universalis 2\ ) and could you check your desktop shortcut properties to make sure that it is pointing to the exe file with that path?
I guess most importantly right now (assuming that all drivers are current and that DirectX thinks it's working properly) is to give me as precise a description of
exactly how far the launch process is getting before it fails so I can get a better handle on what the most likely culprit is.
Thanks for your patience.
