Hi. I run my paradox games in Vista 32 bit without any problems. I don't run them under XP compatibility. Also I run numerous versions and mods of HOI2/DD/ArmA with very few issues... so I don't think that your problem is with Vista per se.
Perhaps the issues are from the mods you have made ("hacks"), or even with pressing the game beyond the routine event paths. It is kind of unusual to annex Canada, as SOV; and even in plain vanilla HOi2 that sort of thing (not the specific example you state) has been known to cause CTD (crashes).
Are you annexing Denmark by the scripted event for Germany? Denmark lays down (or stands down) and normally you dont have to annex them through the diplomacy. Even so, I haven't seen a CTD when GER manually annexes any country, including Denmark.