It sounds like there is a program running in the background that has not shut down properly before you start up ZT2, hence needing to restart to remove the interference.
Check that everything is closed/disabled before starting the game, including things like msn messenger (some antivirus programs can interfere as well, make sure you are disconnected from the internet before disabling that though, and remember to re-enable it afterwards)
EDIT - just relocating this to ZT2 tech support