Windows Vista, like any new operating system, will have problems running some older versions of applications. This is especially true in Vista, considering all the changes. Thankfully there is a compatibility mode that can be easily set per application.
To configure the compatibility mode for an application, just locate the installation directory and right click on the .exe, selecting Properties from the menu.
Select the Compatibility tab:
You can choose to run the program in Windows XP compatibility mode, or even all the way back to Windows 95 compatibility.
Probably the most useful setting to start off with would be to disable the visual themes and desktop composition, if you can't get things working. If you are trying to run a video game, you will often need to choose "Run this program as an administrator". You'll have to play around with it, but most likely you can get your application working this way.