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Chip's Challenge 1 on 64-bit machines
Microsoft's Entertainment Pack version of Chip's Challenge (MSCC) is a 16-bit program, which means it can run on 16-bit and 32-bit operating systems, but it will not run on 64-bit ones. However, most Windows computers sold today are 64-bit. Unfortunately, this means Chip's Challenge will not run on them. If you have a 32-bit version of Windows Vista or Windows 7/8/10, MSCC will run fine. But if you don't, here are a few solutions to the problem.
Get the Steam version
By far the easiest option (or at least as easy as the "CC Clones" option below) is to get Chip's Challenge on Steam, which was released on May 28, 2015 along with Chip's Challenge 2. Note that the gameplay and graphics will be a little different if you're used to playing the MS version of Chip, but this version is as official as official gets - it was released by Chuck Sommerville himself (the original creator of the game).
CC Clones
Many emulations of Chip's Challenge have been released for various platforms. All of these can be found on my main page under "Chip's Challenge Clones".
By far the most popular is Tile World, which is compatible with any Windows computer. It is actually possible to use Chip's Challenge's original graphics and sounds in Tile World too.
If you are open to playing CC on a non-Windows device, you can also check out some of the other ports, including a Mac OS X port of Tile World, a clone for iPhones and iPads called Will's World, and a new Android clone Rommy's Gauntlet.
WineVDM
Andrew R. discovered a cool tool that allows you to run old 16-bit games like Chip's Challenge on 64-bit versions of Windows, called WineVDM. You can download it here, with some more information about it here. Andrew has some more information and instructions for installing it here. It's pretty cool to just be able to double-click CC and play, like the old days, and it appears that all of the bugs and quirks that were discovered with it so far have now been fixed.
Virtual Machines
If you have Windows 7 Professional or higher, download Windows Virtual PC and XP Mode, a free download from Microsoft's website. This will allow you to run a 32-bit version of Windows XP on your Windows 7 computer, which will allow you to run CC while running the virtual PC.
On one of my Windows 7 computers I used to have, CC didn't seem to play as smoothly as usual, and using VMware instead of Windows Virtual PC to run Windows XP Mode seemed to run CC better (turning off CC's sounds helped too). Here is an article on how to set this up.
Note that Windows XP Mode is not available on Windows 8, and is not recommended anymore for Windows 7 due to Windows XP support being discontinued. However, I still have it on my current Windows 7 64-bit PC. It also doesn't seem to have the issues I mentioned earlier that my old Windows 7 PC had with playing the game smoothly (unless I lowered my screen resolution - then oddly enough, it did).
A similar (although more expensive option) would be to purchase a copy of 32-bit Windows and install it as a virtual machine on your PC. Or...
Get an old 32-bit computer on eBay
...or some other location of your choice that sells old computers. This option may not sound like it'd be worth the price, but you'd be surprised - I found a working 14 year old Windows ME laptop for $35 including shipping (I didn't originally buy it for the purpose of being my MSCC computer, but that's essentially what it has become). Of course, a computer of that age does have its quirks, but I've been using it for four years now and for playing CC it works just fine. And considering that it was less than a third of the cost of my 32-bit Windows 8 virtual machine, I'd say it was a much better deal.
DOSBox
If you have or can get a copy of Windows 3.1, you can use a program called DOSBox which can run CC through Windows 3.1. Here is a guide by ChipHome5 on how to set this up (note that this option may be the most difficult to set up...).