Just wanted to put this here in case anyone has the same issue.

Underworld was crashing with an Access Violation Error (0xc0000005). It seems Underworld has a max limit on the number of threads it can use. It must be less than 32, so anyone with a 16 core/32 thread processor will run into this issue. Setting affinity in my third party program wasn't working because it couldn't set the affinity BEFORE the process ran, so the fix was to make a bat file to launch the game.

In explorer open to the Tomb Raider Underworld directory. In there create a new text file and add the following lines:

@echo off
start /affinity 7ffffff tru.exe

then save the file (I named it TRU-31cores.txt). In explorer rename that file from TRU-31cores.txt to TRU-31cores.bat. Then go to your Tomb Raider Underworld shortcut. Right Click it with the mouse and select properties. In the target field change the end of the line from tru.exe to TRU-31cores.bat and you are done.

Do you think this will work with legend and anniversary?

I didn't try anniversary but with legend I didn't need it, that one worked for me directly. But if you are having issues and have a high core/thread CPU give it a try it's the first thing I try with older games. You can also try lowering the thread count more if older games give you trouble by changing the bitmask.

7ffffff = first 31 cores/threads
ff = first 8 cores/threads (core 0, 1, 2, 3, 4, 5, 6, 7) in binary (11111111)
f = first 4 cores/threads (core 0, 1 , 2, 3) in binary (1111)

to make your own custom affinity, use windows calculator put it in programmer mode select "bin" then using 1 and 0 type in what cores you want in binary (on/off) 1 = on 0 = off then change it to hex and use that number in affinity.
example: core 2 and core 0 only = 101 = 5 hex
so your affinity is 5.
IIRC cores are numbered backwards so it would be in the following order core 3, core 2, core 1, core 0. So using only core 3 and 2 = 1100 = C

BTW this doesn't work for all games, for example Technomancer doesn't work at all if your core count is more than 8 regardless what you set your affinity.

I followed all the steps but got the message attached. What am I doing wrong?

It is just telling you that your shortcut isn't pointing to the batch file. Figure out where your batch file is, then right-click it and choose "Create shortcut", then move it wherever.