I already fired off a message to the GOG Tech Support about this, but I want to cover all my bases here.
Whenever I try to open the load menu or use the Game Save MDisk, I get an error message saying "Load Failed!" that gives me a choice of retrying or cancelling. Retrying doesn't help. Anyone know how to fix this?

What the heck... it IS! How in blazes did that happen?
Thanks for that, Phc. I'm going to fix that right now and see if it was the problem.

EDIT: I couldn't get it to go away completely - it kept coming back - but I found out that part of the problem was that I'm playing it under a Limited account in WinXP. It'll work under an Admin. My guess is that the read-only I couldn't get rid of is what's keeping my Lim account from modifying the folder.
So that's that. What a pain in the backside.

If you are more or less the only user interested in the game try installing in your Document folder.

Over there you should have all the rights to write with a limited account.

Recently I've started to install all games in C:\Users\Public\Games. I no longer have any problems with them. I do not even need to run them with administrative rights.