There is already a topic about this here:
http://fileforums.com/showthread.php?t=81107
Please don't start identical topics!
To get the loader to work you must install the Windows Live software and the VC++ 2005 redistributable.
You must then copy the following files into your Halo 2 directory:
dwmapi.dll
Loader.exe
mf.dll
MFPlat.dll
wow.dll
You may need the XTaskDlg.dll as well but nothing complained when it wasn't copied across!
Run the game from a CMD prompt in the Halo 2 directory, for me that command is:
Loader.exe halo2.exe
See the link I posted for more info on creating a shortcut to run from the Desktop.