This zip file actually has 3 nudepatches: full retail Cd, Legacy full Demo, and the Alpha 2 versions. You can download the demo at File Front: http://files.filefront.com/Legacy_Dark_Shadows_Demo/;3799524;;/fileinfo.html
If Legacy is not installed properly on your PC (especially if you have XP with SP2), please, just delete Legacy installation folder (or uninstall Legacy and delete save folder), and try installing Legacy with this Installation Patch