The problem is with the installation PATH. Try installing the game in a folder like C:\GAMES\COMANDOS . Yes, with one "M", so each folder is 8 characters long at the most.
Commandos Beyond the Call of Duty is an old game, from the DOS era. In the DOS era files and folders could be at most eight characters long. So, install the game in a DOS format folder. Eight characters maximum for folders names, no space, no special characters (such as !, ã, +, etc).
If it still does not work, there's this Load/Save Fix which might help you.
Check this: http://commandos.strategyplanet.gamespy.com/patches.html
Look for "saveloadfix.zip"
You cant
You cant.
You Cant
you cant
No you cant
yes you can retard
You cant
You Cant!
You Cant Sorry
No you cant.
you cant.
you cant