I've adopted all of the "classic" interfaces with Vista, so at least on the surface it looks like some mesh of XP with Windows 98.
Anyway, I haven't had too much problem with Europa Universalis II. When I went to install it, there was a warning that there would be compatibility problems, and I couldn't get it to work worth crap, when I installed it the first time. I uninstalled it completely, installed it again, and it worked. The only thing I did different the second time was I installed the 1.08 patch (to see if it would work with that - it did), before installing the 1.09 patch. (which worked too, so it wasn't the patch first time around)
Ever since then, I've had very few problems with it, the only one being that sometimes when I click "Surrender" to finish playing a game and get out of there, it will stop responding. Not always too big of a deal, since I'm done playing anyway, but I do always make sure to have the yearly autosave going, just in case it decides to stop responding at a less opportune time...
Anyway, I don't know if my experiences will be the same as yours, but I have heard of others who couldn't get the game to work on the first install, but were able to when they tried again.