No, I really did absolutely nothing to the files other than download them and zip them into one folder for the convenience of others. Using either patch on it's own had no effect, but using them together works.
As for the dialogue box, it was 'in game' in the sense that it happened once I loaded the program. It wasn't the standard windows one, although I did get a standard windows prompt if I didn't patch yuri.exe as well.
Basically, both files need to be patch, otherwise you get one of the two separate prompts instructing you to enter the CD. There is also a 'glitch' that causes your units to explode after 30 seconds if you try to override it, which apparently is located in the gamemd.exe file. I've had that happen a lot to me, especially when I used to mod the game, I just never knew what caused it until recently.