Hmm... By the way, do you have the %windows%\ubisoft directory? Maybe the game is searching ubi.ini and can't find it. P4_installer only copy files, not creating .inis and registry settings.
If not - maybe this is the source of the Pro Rally 2001 error.
Asus P4P800 SE/Pentium4 3.2E/2 GB DDR400 (3-3-3-8),
Radeon HD3850 AGP (Sapphire), Catalyst 14.4 (XpProSp3).
2 Voodoo2 12 MB (SLI), Win2k drivers 1.02.00 (XpProSp3).