Update:

Today i installed XP clean, not even SP1, using DX8.1 and all the drivers coming with XP. Then I installed the game, loaded first historical battle and....
CRASH after 15s of battle.
I start thinking it's hardware configuration, BIOS maybe. I read somewhere that MTW may have problems with memory over 512MB DDR. But I have just exactly 512MB DDR. Maybe that is too much as well. Shall I try removing one slot? We will see....