If you're talking about games where you download the source to run it, here's the problem:
It has nothing to do with Windows 98, (although it is lame in general). If you download a game's media and paste the source into the editor, it won't work. You need to create a project, so the exe will start in the project's file, and if you put the media in there as well, it should work. Otherwise the exe will be put in the TEMP folder, and media's usually not there.
However, I usually put media I download from this site in the TEMP folder so I don't have to create a new project, I can just copy the media, paste the code, and run the game.