1. File is corrupt, bad, or missing.
2. File is not designed for your version of Windows.
3. File is a virus, worm, or other malware file.
4. Hardware incompatibility.

got that off the internet. Try checking for viruses, make sure you meet the minimum requirements, de frag your hard drive (probably won't help, but it's good practice.) re-downlaod.

Rainbow Six Vegas

(Oh you meant extra terrestrials?)

Doom 3

The Elder Scrolls Oblivion

Just Cause

Scarface the World is Yours (I liked it...)

and you already mentioned STALKER, but it's a great game and well worth mentioning again.

If your computer is really crappy, forget running CallOfJuarez... play something that has less system requirements, such as FEAR, Quake 4 and soon CRYSIS....

LMAO I read that and I thought, "I can't believe he is saying that. He is giving the kid false hope." Then I saw you were kidding. Good one. I would add to you list UT 04, as that game is highly optimized and still has  huge player base, and is better (IMHO) than the original. CAN'T WAIT FOR TEH UT3!!!!

Half Life 2 shipped with 5 discs.

Also I recommend FEAR combat. It's free and it rocks.

Also try Rainbow Six Vegas and Enemy territory (another freebie)

Edit: Installing it and hoping they won't check the programs list is stupid. Steam sometimes requires a manual login at windows startup, and what if they see it? No more computer time for you!