Okay, maybe I can try to help you out then (yes, I solved my problem meanwhile).
What I did isn't something remarkable, but now the training CD of Covert Ops works perfect.
Okay, first I uninstalled the nVidia driver, I restarted my computer an installed my rather old ASUS V6800 driver. That also installed some kind of DirectX Runtime stuff, don't know what exactly, though. Besides this, I installed the Mini-AGP-Driver again. I tried the training CD and it worked! Well, I then uninstalled the ASUS driver and installed the latest nVidia driver (21.81).
Now, everything works like a charm and all my problems are solved.
By the way, UbiSoft suggested to me to update my graphic card and sound card drivers.