Here's a video showing exactly where the problem is happening.

http://screencast.com/t/QOZmBjwiWm

After starting the game the next time it displays a dialog box saying that the game failed to start last time, would I want to change the display settings however that's about as far as I was able to get.

You should install new video codes I guess.
Not sure though.

I fixed it, in the readme it says this is something to do with lav splitter. I tried to change it's settings but that didn't seem to help. Thus I uninstalled CCCP and after that it worked.

Here's something I've posted before:

If the game-task stops responding just before starting the intro video and crashes.
Then when you start again it pops up with the config screen.

Chances are that you're using the same PC for watching Anime??
If you have LAV-Splitter installed, it is one cause of this.

Go to the LAV-Splitter Settings (LAV Filters menu from the Start menu)
Click on the Input Formats tab at the top.
Disable 'mpeg' under input formats.

The game should work without problems after that.