Maleketh: No good, I'm afraid.
Hmm. Not sure what could be causing this. Apparently mss32.dll is related to sound... what kind of sound card are you using? When you grabbed the .dll file online, where did you put it?
Googling found this, specifically talking about Anachronox:
"Q: The game crashes with an error about MSS32.DLL
A: This is generally a Sound-related problem due to compatibility issues with 3D Sound, DirectX and particular hardware configurations.
Run the Anachronox setup Program (Start>Programs>Anachronox>Setup Anachronox), or anoxsetup in the Anachronox installation directory, and turn 3D Sound OFF.
As always, make sure you have the current driver software installed for your sound card."
(Source:
http://www.mastertronic.com/support.asp?pid=141#181)
So you can try disabling 3D sound in the game's setup program. I think that 3D sound was known to be broken in the game and I thought it was removed in the most recent patch so it shouldn't cause problems with the GOG version, but it's worth a shot.
There's some general stuff you can try too, but I'm not sure if it will help. On Vista or WIndows 7, you can try either installing the game as administrator or changing the install location to something other than program files (C:\Games, for example) which can help avoid permissions problems.