As acorn said try changing the resolution and try different Pete's plugins (D3D/OGL/OGL2) or the software P.E.Op.S. plugin. As you haven't told what your graphics card is i don't know which of the plugins will work on your system.
I have always had a lockup on the game after the 2nd level so I haven't really tried to play the game anymore. Anyone have any idea on how to fix this problem?