Besides the games which came with Windows XP, probably Freddy Fish. I can't be sure though, because the earliest photos are of my brother and I playing Star Wars: Galactic Battlegrounds at age 5/6 ish (remember when computer game/software boxes used to be 10 inches tall or so?), but my mother has mentioned me messing with the family computer as early as 18 months old, and I know I played Red Alert 2 before Galactic Battlegrounds.
To this day, Red Alert 2 is still hard as shit towards the end. I only ever beat the soviet campaign, and I only managed to do it once. Never managed to crack the final mission for the allies. I should dig up my old copy and give it a go again.