If you guys are playing with mods, it's possible that's the issue.
The scope and scale of changes in CK2's 1.06 patch means that there are several commonly mod-altered files that now contradict data the game absolutely expects to have. The result is an instant CTD on startup, with no error message.
I'm still trying to narrow down exactly what files are the issue, but if you are using mods, until the authors update them, there's nothing to be done but to either start new games without them (make sure to uncheck all mods in the launcher!) or wait until mod authors catch up to 1.06 and Sword of Islam.
Doomdark also mentioned a small bug with the initial 1.06 patch involving a missing file. It's possible this is the cause, and Steam takes longer to push out hotfixes than GG or Paradox, as a result of their verification process.
Hopefully this helped a bit! Good luck!
~K