You are more than likely running Windows 7 64 bit, which is completely incapable of running CotW natively.
There is a couple solutions out there for you:
If you are running Windows 7 Pro or Ultimate, you can get the free Windows XP virtual environment, and once that is setup you install CotW and play there. (This is what I use).
Here is the link to that: http://www.microsoft.com/windows/virtual-pc/download.aspx
The 2nd alternate, which has some issues, plus difficulty setuping up properly, but I have done it once before when I was trying to find the solution, is to acquire a copy of Windows 3.11 (or 3.1), download & install Dosbox (see http://www.dosbox.com/).
From there, you would run dosbox, do some funky magic and install Windows 3.11 into Dosbox, and then run Windows 3.11 from inside of dosbox. From there you can play CotW.
Albeit, that method I had some performance problems and random lock ups.
I too had this problem...
My solution: practically free old computer from a university recycle center.
a 3rd option is just VM a WinXP OS. CotW runs just fine on WinXP regardless of service pack.
Brilliant answer, friend. I just DLed both of them, and i never played more than the demo for the first one so winsauce.