I don't think compatibility mode will help with DOS games like "The Dame Was Loaded." DOS games use 16-bit code. If Lexxy has 64-bit Windows 7, like most people do, games with 16-bit code will not even install, let alone play, unless you use something like DOSBox or a VM. "The Dame Was Loaded" was made for DOS 5.0 and is not a Windows game even though it played on older Win95/98 computers.
The game may work in Windows 98, though that will probably depend on the computer and what sound card it has. Some DOS games have an option to play without sound if you're having trouble with the sound card, but I'm not sure about this one.