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wow, wait a second there. are we sure that no antivirus and/or firewall sofrware is blocking access to haegemonia. Because your situation, as far as I can remember, wasn't the initial problem we encountered way back when. What we had was, the game runs, the videos show but crashes to desktop instantly after that. So my guess here is something prevents the haegemonia's main executable running in your system. Either that, or maybe you are lacking some codecs and you experience CTD without seeing the videos.

If you are running antivirus software, disable it for testing purposes and give it a go.
I was able to get Haegemonia working on Windows 8.1 64bit using a program called DxWnd. You can download DxWnd from the following location:

http://sourceforge.net/projects/dxwnd/

I below are the options from the configuration file (DxWnd.ini) I used. You will need to modify the configuration to point to the correct path where you have Haegemonia installed to.

[window]
posx=1247
posy=192
sizx=320
sizy=200
[target]
title0=Haegemonia - Legions of Iron
path0=C:\Games\Haegemonia - Legions of Iron\Hgm.exe
launchpath0=
module0=
opengllib0=
ver0=0
coord0=0
flag0=268435936
flagg0=1073774592
flagh0=66068
flagi0=4325376
tflag0=0
initx0=0
inity0=0
minx0=0
miny0=0
maxx0=0
maxy0=0
posx0=50
posy0=50
sizx0=800
sizy0=600
maxfps0=0
initts0=0
winver0=0
maxres0=0