The title helps a lot. I could give you better advice with the older games but, since I don´t have Prophecy Gold and I am not familiar with your videoboard, so you´ll have to wait for somebody else to help you out.
Most common solution for fixing skipping FMV in WCP is to reduce or switch off soundcard acceleration in DirectX. If that doesn't work, you'll need more specialised help.
You can say that *after* you try disabling Hardware Acceleration. I had it just randomly start one day on my old computer... Using the same sound card I had for years.
Do a find files for "dxdiag.exe". Execute it and go to the Sound tab. Disable Hardware Sound Accelleration. Also, go the the Multimedia icon in the Control Panel and click Advance > Performance tab. Make sure it's disable there too.
Now if you have a SBLive card with LW3 and DirectX 8.x you have a problem. There are compatitiblity issues with LW3 and DirectX 8.x which CL has never fix. If this is the case you will not be able to stop the movie skipping. I have spoken to CL about this and they suggest to use DirectX 7.1.
Note that the new Audigy card does not have this problem but you would still need to Disable Hardware Sound Accelleration.