Added after 12 minutes
Okay, lionheart, I had the same issue. In the folder C:\HEROES2\, there's a folder called "install." I launched it and started just pressing "Enter" (basically, anything). Then I ran the .exe file again, and it worked.
New here? I'm Roha — want a quick tour?
try the previous suggestions... if that doesn't work, try installing a second system (like Win98 ME).
maybe win98se (not me, there is no such thing as win98)
Well, if you've read this, try extracting this file to the C:\Windows\System32 folder and then launch Heroes.
Don't forget that this uploaded file is an archive, so you need to extract it (unzip it).