I have found that Majesty Gold and the Northern expansion pack will Hang and be forced to be terminated if you have the CCCP-Project codec packs installed.
Apparently the audio stream triggers the ffdshow audio decoder to start, which gets in the way of the program running audio correctly.
Uninstalling the CCCP-codec pack fixes the problem but I'd almost rather have the codecs than the games.
If anyone knows how to make these audio files not trigger the ffdshow conflict, please post it.
EDIT: I have found how to keep it from hanging. Follow these steps:
Open the Start--> Program --> Combined Community Codec Pack --> Filters --> FFDShow Audio Decoder Configuration.
In the left pane, select Codecs
In the pane on the right the very first thing listed should be MP3. In the middle column under 'decoder', make a note somewhere of its current setting (be it libmad or mp3lib).
Then select the decoder for mp3 and set it to 'disabled'.
Click apply and close the config utility.
Try running Majesty.
By making a note, you can set it back when you have troubles playing back stuff in other apps.