Sorry to repeat myself, but have you made sure you've installed it in the exact same folder than Secret Ops ? The only thing I can think of that would cause this problem is that the "gl_0000x.dll" files that are shipped with UE aren't found in the path referenced in registry entry for SO.
When SO installs itself, it adds a line in the registry to access the dlls that are installed with it. If you install UE in another folder than SO, the new UE files cannot be found in the path referenced in the registry, causing this crash. If you did install UE in another folder, delete this new folder and re-install UE in the same folder than SO. Then verify the compatibily setting on "wcue.exe" (right-click on the file and click the "Compatibility" tab) and set it on Win95 if it's not already.