Hmm..
You shouldn't need to put it in Windows '98 compatibility mode. Yuri's Revenge and Red Alert 2 are compatible with Windows XP.
This is an unofficial patch for Command & Conquer: The First Decade that fixes a few bugs with some of the games. It should fix your problem (it disables the need for the DVD to be in the drive - don't worry, it's
not a NOCD crack, and it is endorsed by EA - in fact, it's based on the 1.02 official patch for C&C:TFD).