badmad: As stated above, I remember having this game with UK voice and native windows ('95) version. Perhaps compatibility problems?
JudasIscariot: Look for the "UK version" in your bonuses :) As for there being a Windows version, I am not sure if there was a version for Windows, to be honest.
There was a Windows version. I have one, but I haven't looked much at it since I assumed that the DOS version runs more reliably under Linux. I don't know if there are different releases, like with the DOS version, but here are a couple of things I've noticed about mine:
Most obviously, it's multi-lingual: When you start it from the CD, you are given the choice between English, French, German, Dutch and Swedish (which is the same as English, but with Swedish subtitles). I'm not sure if it's the UK or US version. There is speech during the "JANUARY 1937" intro, but the rest of the voices at the very beginning sound like they're from the other version. Also, outside of the movies I'm not hearing any music, but I assume that's some settings or emulation issue.
Unlike the DOS versions, it only appears to include the high-resolution version.
The cutscenes use the Smacker video codec. The ones I've seen were much more dithered than the ones in the DOS version, which is not an improvement.
I also have a Macintosh version, but I know even less about that one. According to Wikipedia, there were Japanese versions (still English speech) for Sega Saturn and PlayStation, but I've never seen - or looked for - those.