To run with Administrative privilege you right-click the setup.exe file (or whatever the installer file is called in Myst 4) and choose to Run As Administrator.
Be sure
not to install the game to the default C:\Program Files.
Install to your user's (My) Documents folder or to some other folder that Windows doesn't try to "Protect."
You don't say which version of Windows you have.
This is what it says about Myst IV in the
***Windows 7 and Games*** thread:
Myst 4 Revelation Judith bowed to her masochistic side and braved the triple slider chair puzzle in on her 64-bit Win 7. She installed both patches and the game played fine. *NOTE* After losing large patches of hair trying to get this game to run on her 64-bit Win 7 without success, Cissy found the culprit was her dual monitors. When she turned one monitor off, the game played just fine.
I think there was a patch (from Ubusoft themselves) that removed the SafeDisc DRM. SafeDisc didn't used to prevent a game from installing, only from playing, but I'm not sure what recent Windows updates have done. Anyway, your version of Windows is important to know.
You could also try changing compatibility mode on the installer file (even though it's on the DVD) to XP or earlier before running the installer.