My Yuri’s Revenge game lagged like crazy when ever something graphically dramatic happened like and explosion, I've spent ages trying to figure out a way to fix and I finally have.

Disable the DirectDraw Acceleration feature:

1. On the Start menu, click Run.
2. In the Open box, type dxdiag.
3. Click the Display 1 tab.
4. Under DirectX Features, next to DirectDraw Acceleration: Enabled, click Disable.
5. If you have a second monitor, click the Display 2 tab, and then next to DirectDraw Acceleration: Enabled, click Disable.

You may get some messages boxes complaining about turning the feature off, it's nothing to worry about just click on OK or Yes.

After doing this Yuri's Revenge and RA2 played perfectly, however newer games that use 3D Graphics won't work especially ones that use pixel shading, so you'll have to turn DirectDraw Acceleration back on, to do so just follow the instructions above and click on Enable instead.

I can't find an easy command line way of doing this so for now it's gonna have to be the long way around for disabling and enabling it, hope this can help someone.