Many games in the Arcade require the most recent version of Direct X in order to run properly. Direct X is freely available from Microsoft at: http://www.microsoft.com/windows/directx/

You can try uninstalling the game, restarting your computer and re-installing the game. Many times a simple un/re-install can correct any kind of strange problems you're having with your game.

Otherwise, be sure to check the minimum requirements of the particular game you are installing and that the computer you are using meets those requirements. If you are running Windows Vista, and the game is not supported on Vista, you can try running the game in "XP Mode".