That CoCreateInstance failed error is not a Windows error it is specific to the Midnight Club 2 game, Windows 11 is not as compatible to older games as previous versions of Windows was, it uses a different graphics sub-system.
The Midnight Club 2 game is 23 years old and requires the DirectX 9 runtime to be installed, try installing that from this link and test if the game then works, if not, the best option would be to post a question to the Steam forum to see if anyone there has a workaround to get that game working in Windows 11.
https://www.microsoft.com/en-ie/download/details.aspx?id=8109