Update, I was able to get Demigod running with Defense+ enabled, by going to the Demigod.exe, selecting it and holding down enter.
Also, the DemigodStub.exe does not launch either with Comodo Defense+ enabled.
@Savyg: Comodo is as intrusive as you would like it to be. This is definatly some wierd conflict in the Demigod engine, since it does not happen with any other game, and I have 100s of games.