I think I solved the problem with installing 1.2 patch. Since I already had a problem with a multilanguage game (Crusader Kings) because of my regional settings in Windows, I tried changing those. After "successfully" getting all the errors reported on this forum, I managed to correctly install the game and the patch with English (UK) settings. For those who have problems with missing/corrupt dat file during the installation or with unspecified error when starting the game after installation, here's what you should do:

1) Uninstall the game, delete the game directory and all remaining files in Program Files and delete the registry entries made by the game.

2) Open Control Panel -> Regional and Language Options (Win XP). On Regional Options tab change your language and then change to the same language on Advanced tab. Click Ok and restart your computer when asked to.

3) Now you should be able to successfully install the game and then the 1.2 patch.

Experiment with the language settings because required settings might be different for different versions of the game. English (UK) probably worked for me because I got the game from UK. Serbian language settings gave me missing Voice3.dat file once and unspecified error in another attempt. English (US) game me missing voice1.dat. I hope this solution works for everyone.