Aha, you have xp. It doesn't really make a difference. Could you provide us with some screenshots if possible?
Solutions:
1. If you have a anti-virus program, add it to your exceptions list then it should work.
2. Turn off your firewall when playing Phoenix TR.
I suggest you try solution 1, as solution 2 is really not necessary.
If the above 2 don't work, do as I said, provide us with some screenshots.
Steps:
1. Screenshot your problem.
2. Paste it onto paint, word.
3. Save it.
4. Go onto
http://imageshack.us/5. Upload the file where you saved your screenshot.
6. Copy the URL and paste it here.