Summary:
I was installing a kid's game that needs to run in XP's 256 color and 640x480 res, but the shortcut the install program made didn't have the 'compatibility' tab. I noticed that the shortcut was pointed directly to a program on the CD in the drive.

Steps:

-Turns out that the 'properties' tab of a CD shortcut is not there unless the CD drive is empty.

-So I empty the CD drive

-open the properties of the shortcut

-put the CD back in,

-then fiddle with compatibility modes.

-test.

Works like a charm.