i have the same problem
i buyed the game, installed it. and then nothing. i coud click on the desktop icon and nothing happens.
when i put the cd in again the autostart menu comes and there i only get the install option, i coudnt even click play, if i push "install" again comes that i have already installed arma 2.
tryed to use the exe file direct too nothin, no error nor bluescreen nothing.
i dont have any anti virus programm running or firewall or spybot or whatever coud block anything.