Okay! Found something that works.
Download this. (
http://www.onehitcombo.net/imagecfg.zip)
Unpack it to C: or somewhere you can find it.
Start -> Run -> "cmd"
Navigate to the directory you put imagecfg in, for example:
cd c:\
When you're in the right directory, type:
imagecfg -a 0x1 "C:\Directory\Where\You\Insalled\GRIMFANDANGO.exe"
It'll output four lines of text, and then you're done. Turn off compatibility for GRIMFANDANGO.exe, and run the game.
Basically it sets the CPU Affinity before the game is running (since changing it in realtime doesn't help, and doesn't stick!), and saves it. It is woot.
Thank you so much, I have no idea what it did, but it cleared the problem right up.
Also just before that I had a problem actually ingame where it replicated pieces of manny all across the screen, changing as he moved. That was solved by turning on 3D hardware acceleration.
Just putting it down in case anyone else finds the same problems.