You can start playing directly from a saved game and avoid the beginning video and main menu. Just double click on your saved game, or an alias of it, with the corresponding CD in the drive, and you will be instantly at the point of your saved game. If another of the game's CDs is in the drive, it will be ejected, and you'll be told which one to insert.
Game navigation tip: If possible, program a button on your input device to click & hold (drag) to use for 360 degree panning and stride mode to avoid repetitive strain injury. Point & click navigation in games uses the input device more than most other stuff we do with our computers, so make sure you have as good an ergonomic position as possible.