CMSF1.
Just tried a clean reinstall and re-patching because I did get errors in the installation process, now that you've mentioned it. I got the same errors doing it again--as far as I can tell, the system is just denying the installer permission to add web shortcut links to the start menu. I have no idea how to stop that from happening or why it would matter. But, after another reinstall and sequential patching, I'm still having the same issue.
EDIT: Started trying to run CMSF patchless with the intention of testing after each patch. I can run CMSF unpatched, the issue kicks on once 1.21 is installed.
EDIT2: tried running the patch installation with Norton autoprotect turned off. Same start menu link 'access denied' errors, same end result.
EDIT3: I think I see the problem. Even the "first" 1.21 patch is incremental and needs 1.20. 1.20 is in another folder here, but both versions of that need 1.10 or 1.11. My disk installs to 1.0 and I don't see anything that gets me from 1.0 to 1.10/11.