Ion Storm did Thief 3, under direction (or whatever) by Eidos. I think they had a couple people from the early Thief days on-board, but someone sure screwed the game up! LOL
Having to do a simultaneous launch for the XBOX is what screwed them up the most, I think. They basically made the same game to be used for the XBOX and PC. Therefore, levels had to be smaller, load zones needed to be used, the user interface and graphics had to be more conducive to consoles and televesion sets, etc., etc. The list really does go on. It was a decent game, but there were just some major changes that were for the worse rather than for the better.
Glad to hear you already had access to Thief 2! If it's a standard version, update to v1.18 before playing. If it's the 'Platinum' edition, then v1.0a is the version you'll see in the readme file, and that's already at the latest version (don't install patch).
Cutscenes are known to be problematic on XP. You should see cutscenes before the start of most every level. As well, you should see the AVI "Mission Complete" movie upon the completion of each level. And you should see opening cinematics. If you ever don't see these, then you need to get the codecs squared away, or modify a CFG file of some sort. See this thread for details: http://www.ttlg.com/forums/showthread.php?t=75031
On that page, I read this:
EDIT: And don't forget to (a) turn the lights off when you play, (b) bump the gamma down so the shadows are dark, and (c) use headphones