I had exact same problem with GamersGate version, using 1.05. I moved the entire thing out of the "Program Files" directly into "C:\", then changed the "target" and "start" info in the properties screen on the shortcut. Problem solved.
There is a page somewhere that shows exactly how to do this, but basically you right click on the shortcut and scroll down to "Properties", then you change the info as suggested above so it says "C:\ArsenalofDemocracy\" (essentially remove the "programfiles" parts. (again, provided you moved it to C and not somewhere else....) Windows won't let you change it to a bad location, so it's semi-foolproof.