Victoria will install fine from CD (and possibly through a gamersgate download but I have not tested that). However, if you want to play it you need to get crossover games v8.2.0 because the stable one (at the time of writing this) will not work. The Victoria revolutions extension, as well as the popular Victoria Improvements Project mod work flawlessly.
If you want to change the game's resolution, you may not use the settings utility - it will not run. Instead you can edit the settings.cfg file in the Victoria directory and set your desired resolution there (really the only other option is 1280x1024 - the default is 1024x768). Anyway, the game runs great and it is a great game!