I have that game. I beat it too, and paid $50 bucks for it. It really is amazing.
Anywho, I remember experiencing some problems with starting the game when I first got it as well, but that was years ago, and I haven't played it since. However, I do remember having to change my resolution to 800x600 16bit in order to properly play it, because of the video intro to the game. I really can't remember if I had that same problem you have.
You said you bought it off Ebay, was it brand new? Perhaps if it's used, the CD (didn't a floppy come with that game?) may be corrupted. Or it could be your computer. I remember having numerous malfunctions with many PC games I've installed in the past, and after I restored my computer into it's original position (the way it was when you bought it) everything always seemed to work fine.