I have a similar problem
This applies only to Yuri's Revenge; Red Alert 2 isn't affected for some reason:
I try to load Yuri's Revenge, and about ten seconds into the loading, it gives me a Microsoft error message saying: Main executable for Yuri's Revenge has encountered a problem and needs to close. We are sorry for the inconvenience. Ive tried to install the patch to yuri's and ra2 but still doesn't work i also changed the compability to win98, win95, NT, 2000 but nothing happends. :x