Also take note that the built-in firewall that comes with Windows XP Service Pack 2 will appear "UNDERNEATH" the playing field of all DirectX games like Lost Admiral Returns.  So if you are using XP Service Pack 2's firewall, or any firewall, be sure to toggle to your windows desktop via "Alt-Tab" to check for any firewall messages when doing Internet actions.

If you encounter problems getting your dial-up connection to launch on it's own when LAR needs an Internet connection, please manually connect to the Internet from your Windows Desktop.  This error is related to the low level XP task managers for resolving DNS and a confusion between your LAN system and the real Internet (in this case, accessed through your Dial-Up connection).