Is it possible to play Imperialism 2 without activating Direct Play? No matter what i try I cannot get Direct Play activated and therefore cannot play the game. Has anyone else encountered this problem?

You have gone to Legacy Box in the Uninstall Program Box/Turn Windows Feature on and off?

Does it stay checked or does the "Direct Play" go back to uncheck? (I ask because I had a anti-viral program conflict with Direct Play once).

It says that some changes may not have taken place as the component store has been corrupted.

Well, now that is beyond my knowledge. I had a heck of a time once with Direct Play because I had malware that didn't like the change. But the notice you received is beyond my knowledge.
Sorry and good luck
PS. got curious, so I looked it up. Still may be the Anti-Malware as I found this on a Microsoft site:

"You may be getting the error [the component store has been corrupted] because the computer encounters conflicts with your security software while checking your drive. We recommend disabling your antivirus and performing the steps again."