Guys!!! i've got a solution in Win10... so, after more than 23 hours trying to get this running with a friends PC (i'm the PC slave of my friends), making all kinds of things to the poor PC (some of them almost sexual, but hey, i didn't had to go that far!), long story short, this worked for me:
1. Get D3dwindower (credit goes to GOG user @Spinorial from who i got the program in a post about commandos 3, you can search for it here at GOG, or in google)
2. Unrar your downloaded file in step 1, in the folder of Haegemonia (something along those lines: C:\Program Files \Games\Haegemonia Gold Edition\Haegemonia - The Solon Heritage)
3. With administrator privileges open D3Dwindower.exe
4. Get yourself some familiarity with the programs UI (see the buttons names, etc)
5. Click in "Add Program" (+ symbol)
6. Search for Hgma.exe
NOTE: for the next to work, you need to be able to see the initial videos and then the crash happens when you get to the first menu. If your game instantly crashes upon opening, this won't work (you may have to reinstall, this happened to me and worked after reinstall)
7. Click on "Run program"
8. GG
8a. if you see that the mouse can't travel through ALL the interface of the game, then alt+F4 and switch your PC resolution to 800x600, then try again, now yes gg.
I did this for my friend just because i love both RTS and PC deep twerking, if you want to know a bit of how i detected this solution, i used a great freeware application called "Dependency Walker" (depends.exe) which basically tracks the .dll dependencies of a program. There i noticed that the game couldn't load d3d8.dll, so i thought about using D3dwindower cause it's a program designed to emulate different d3d environments, and it worked :)... if this doesn't work for you, maybe with Dependency Walker you can figure out the root of the problem. Have a nice life guys, a nice life a tons of RTS.