Which version of the game are you playing? I checked the GameStop website, a search for this game on their main page's search engine comes up with nothing, so I don't know what version they have/had.
Some outside 3rd party websites have old versions of UFO: Alien Invasion, if you want the latest stable release I'd suggest getting it from Sourceforge (2.2.1) , or, if you want to try a beta of the newer 2.3 check for a link from this forum, but be prepared for bugs with 2.3.