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OLOV: I don't have Vista, but off the top of my head try this.

Right click on your EU2 Icon.

Go to 'Properties' (If there is such an option)

Go to 'Compatibility' (again, if there is such an option)

Click "Run this program in compatability mode for", then select any version of Windows pre-Vista.

Hit OK/Apply and then try it and let us know how you do.
 
You will probably have to run it as the system Administrator. I don't know how that's done exactly as I don't have a copy myself, but it's a common requirement for apps written for XP and earlier Windows versions.
 
I've just had a problem with Vista as well, and running it in compatibility mode for Windows XP SP2 fixed it. I don't have to run it as the administrator.

It is running 1.09 with AGCEEP on Vista Home Premium.