PC Study Bible was not initially designed to run on Windows NT, nor was it tested in that environment. We do not offer Technical Support if a problem arises. This is true for both Version 2 and Version 3.
For Version 2: Many NT users, however, have successfully installed and run PC Study Bible Version 2 on their NT systems. "Many" meaning almost all; it is rare that it does not work.
For Version 3: The latest version of PC Study Bible Version 3, which runs on Windows NT, is available. KB521 is the solution for NT and follow the instructions there, even though KB521 only mentions Windows XP and Windows 2000.