We should have an FAQ for this question.
OK, the game (for some reason)requests an internet connection when you select your difficulty. To disable it, open Internet Explorer/Tools/Internet options, go to the connections tab and select 'Never dial a connection'. That'll fix it on any Win 9x systems.
For XP you'll need to do the same but after you have finished, reopen Internet Explorer and when the dial up box comes up select 'Do not ask me this until next time I log in' or something like that, then click cancel and run MOH. problem fixed
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Lady Astor: "Winston, if I were your wife I'd put poison in your coffee."
Winston Churchill: "Nancy, if I were your husband I'd drink it."