Right click your COD4 icon and select properties. Now Make sure the target points to an .exe in your main COD4 directory. I don't really know what it is but it should be something like C:\ProgramFiles\Activision\CallOfDuty4
If you downloaded from Steam, go to your Steam library and right click CoD4 and then click "Properties", "Local files", then click Verify Game Cache, or something like that. That checks the game files for corruption.