Well, first off, are you playing it from an UNZIPPED directory, as opposed to running it inside the ZIP?
Yeah, I know, but so many people were found doing that...
Also, let us know whether you have the 'ags_Snow_Rain20.dll' file in the SAME directory as the game's exe file, and just for kicks be sure and check spelling/capitalization.
This is just preliminary information, and for future reference this is info you should place in your post so people can safely rule these minor details.
Oh, and - have you checked whether some spyware/virus is blocking files' acess to DLLs? Apparently someone else had a similar problem. Or something.