Direct play is required to start the game, and I don't feel comfortable downloading something that was deprecated in windows Vista. Would it be possible for there to be a version without it (I assume it's just used for highscores).
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Everything should work properly even if you choose to not install DirectPlay (I don't want to do it either, to be honest), since the game never really uses it. The prompt is probably there because I started the project on a really old version of the engine, but moving to a more up to date version (which would get rid of that prompt) is something I'm already working on anyway.