hmm... try waiting until the "loading" bar is full (not just until the "ok" button appears) ...
the game should work while it is loading for MOST people, but, for the selected few, they just have to wait...
... clearing your cache and reinstalling the Shockwave plugin might help as well (the FAQ tells you how to do that)
http://projectx.cyberfuturism.com/faq/internet/