I did a search of the forum and see this problem has occurred with a few others, too.
"Normally", this problem happens when the copy protection built into CD1 does not work at install. This is normally because people try to back up their original disks, or used a hacked copy, and then do it "improperly".
In theory (I have not observed it myself), it might occur in some unlikely system conflicts, perhaps with other game installs or malware present on the boot partition. Further, Activision does check (as part of install) for the presence of certain programs and device drivers on your system. However, it "normally" will make a straightforward statement of the issue (e.g., certain virtual device drivers) and abort.
RTW expects the Mss32.dll to reside in the root directory of the RTW install. The version is 6.5e (right click on the DLL and look at properties), 2004-08-28 2:45. Be sure the file is in your root RTW, and the game will find it. But again, if you install from a new, original "undamaged" (e.g., no scratches & smudges) CD, this problem should not occur.
Since it "is" occuring, my advice is to completely uninstall RTW manually (HOWTO is here) with a "known" good CD (one that has recently known to install properly). If "known" good CDs do not work on your system, then it is some sort of system conflict, and perhaps writing Activision is best. Or, if you are not afraid of partitioning, create a new partition, install a basic XP setup, update with the newest drivers, install WMP 10 for good measure, then install RTW. If it still won't work, then look to your physical hardware and/or drivers, possibly in conjunction with BIOS settings. I am assuming you already have the best stable BIOS running for your machine, have not "pushed" the BIOS settings (overclocked, tweaked, made nonstandard settings, etc.).Though RTW is very demanding on certain machine configurations, the install "normally" will state what it does not "like" instead of mis-installing something.
There is another remote possibility. That is that the installer itself has a conflict, and messes something up. I have talked about such stuff here and in my first-ever post, here. You can read them and try the suggestion.Good luck and post with any specific things you try, even if they fail... it might help others. It will basically be a trial and error process, if you want to pursue it, but there really is an answer since I am now assuming the CDs you use are indeed retail originals.
One last thing. I have heard of a few cases of people who truly have defective disks. Activision requires the retailer to exchange them, so that is an option too. But if the same problem manifests with different disks, it is either a deep Activision issue, and/or an hardware/driver/BIOS issue with your machine (again, the "fastest" way to troubleshoot this is with a fresh XP install on a different partition).