The same happens to me. No APPCRASH, no abnormal messages in the SDL window...
The music starts, the game window apparently opens (according to the taskbar), the message window shows the progress, the music starts for half a second and then... Poof. Gone.
A log is created, though.
<default setup.txt>
Spoiler: Log
Starting Egoboo 2.8.1 ...
INFO: PhysFS file system version 2.0.0 has been initialized...
INFO: Initializing high-performance counter...
INFO: Frequency is 14318180 hz
INFO: Initializing clock services...
INFO: Loaded setup file - "C:\Users\Daaje\AppData\Roaming\egoboo\setup.txt".
INFO: Initializing SDL version 1.2.14... Success!
INFO: Intializing SDL Timing Services... Success!
INFO: Intializing SDL Event Threading... Success!
INFO: Intializing SDL Joystick... Success!
INFO: Intializing SDL Video... Success!
INFO: Opening SDL Video Mode...
==============================================================
SDL set video mode to the current parameters
SDL window parameters
width == 800, height == 600, depth == 32
SDL flags
fullscreen
SDL software surface
SDL single buffer
OpenGL support
OpenGL-compatible blitting
SDL_GL_Attribtes
SDL_GL_RED_SIZE == 8
SDL_GL_GREEN_SIZE == 8
SDL_GL_BLUE_SIZE == 8
SDL_GL_ALPHA_SIZE == 8
SDL_GL_BUFFER_SIZE == 32
SDL_GL_DEPTH_SIZE == 24
SDL_GL_DOUBLEBUFFER == 1
SDL_GL_STENCIL_SIZE == 8
SDL_GL_ACCUM_RED_SIZE == 0
SDL_GL_ACCUM_GREEN_SIZE == 0
SDL_GL_ACCUM_BLUE_SIZE == 0
SDL_GL_ACCUM_ALPHA_SIZE == 0
SDL_GL_STEREO == 0
SDL_GL_MULTISAMPLEBUFFERS == 0
SDL_GL_MULTISAMPLESAMPLES == 1
SDL_GL_ACCELERATED_VISUAL == 0
SDL_GL_SWAP_CONTROL == 0
SDL using video driver - windib
Available full-screen video modes...
Video Mode - 1280 x 1024
Video Mode - 1280 x 960
Video Mode - 1280 x 768
Video Mode - 1280 x 720
Video Mode - 1152 x 864
Video Mode - 1024 x 768
Video Mode - 800 x 600
Video Mode - 640 x 480
==============================================================
OpenGL state parameters
gl_version == 2.0.6590 Release
gl_vendor == ATI Technologies Inc.
gl_renderer == ATI Radeon X1200 Series
gl_extensions == GL_ARB_depth_texture GL_ARB_draw_buffers GL_ARB_fragment_program GL_ARB_fragment_shader GL_ARB_multisample GL_ARB_multitexture GL_ARB_occlusion_query GL_ARB_point_parameters GL_ARB_shader_objects GL_ARB_shading_language_100 GL_ARB_shadow GL_ARB_shadow_ambient GL_ARB_texture_border_clamp GL_ARB_texture_compression GL_ARB_texture_cube_map GL_ARB_texture_env_add GL_ARB_texture_env_combine GL_ARB_texture_env_crossbar GL_ARB_texture_env_dot3 GL_ARB_texture_float GL_ARB_texture_mirrored_repeat GL_ARB_texture_rectangle GL_ARB_transpose_matrix GL_ARB_vertex_buffer_object GL_ARB_vertex_program GL_ARB_vertex_shader GL_ARB_window_pos GL_ATI_draw_buffers GL_ATI_fragment_shader GL_ATI_separate_stencil GL_ATI_texture_compression_3dc GL_ATI_texture_env_combine3 GL_ATI_texture_float GL_EXT_bgra GL_EXT_blend_color GL_EXT_blend_func_separate GL_EXT_blend_minmax GL_EXT_blend_subtract GL_EXT_compiled_vertex_array GL_EXT_copy_texture GL_EXT_draw_range_elements GL_EXT_fog_coord GL_EXT_framebuffer_object GL_EXT_multi_draw_arrays GL_EXT_packed_depth_stencil GL_EXT_packed_pixels GL_EXT_point_parameters GL_EXT_rescale_normal GL_EXT_secondary_color GL_EXT_separate_specular_color GL_EXT_shadow_funcs GL_EXT_stencil_wrap GL_EXT_subtexture GL_EXT_texgen_reflection GL_EXT_texture3D GL_EXT_texture_compression_s3tc GL_EXT_texture_cube_map GL_EXT_texture_edge_clamp GL_EXT_texture_env_add GL_EXT_texture_env_combine GL_EXT_texture_env_dot3 GL_EXT_texture_filter_anisotropic GL_EXT_texture_lod_bias GL_EXT_texture_mirror_clamp GL_EXT_texture_object GL_EXT_texture_rectangle GL_EXT_vertex_array GL_KTX_buffer_region GL_NV_blend_square GL_NV_texgen_reflection GL_SGIS_generate_mipmap GL_SGIS_texture_edge_clamp GL_SGIS_texture_lod GL_WIN_swap_hint WGL_EXT_swap_control
glu_version == (null)
glu_extensions == (null)
GL_MAX_MODELVIEW_STACK_DEPTH == 32
GL_MAX_PROJECTION_STACK_DEPTH == 10
GL_MAX_TEXTURE_STACK_DEPTH == 10
GL_MAX_NAME_STACK_DEPTH == 64
GL_MAX_ATTRIB_STACK_DEPTH == 16
GL_MAX_CLIENT_ATTRIB_STACK_DEPTH == 16
GL_SUBPIXEL_BITS == 12
GL_POINT_SIZE_RANGE == 1.000000 - 63.000000
GL_POINT_SIZE_GRANULARITY == 0.166667
GL_LINE_WIDTH_RANGE == 1.000000 - 63.000000
GL_LINE_WIDTH_GRANULARITY == 0.166667
GL_MAX_VIEWPORT_DIMS == 4096, 4096
GL_AUX_BUFFERS == 0
GL_RGBA_MODE == TRUE
GL_INDEX_MODE == FALSE
GL_DOUBLEBUFFER == TRUE
GL_STEREO == FALSE
GL_RED_BITS == 8
GL_GREEN_BITS == 8
GL_BLUE_BITS == 8
GL_ALPHA_BITS == 8
GL_INDEX_BITS == 0
GL_DEPTH_BITS == 24
GL_STENCIL_BITS == 8
GL_ACCUM_RED_BITS == 0
GL_ACCUM_GREEN_BITS == 0
GL_ACCUM_BLUE_BITS == 0
GL_ACCUM_ALPHA_BITS == 0
GL_MAX_LIGHTS == 8
GL_MAX_CLIP_PLANES == 6
GL_MAX_TEXTURE_SIZE == 2048
GL_MAX_PIXEL_MAP_TABLE == 32
GL_MAX_LIST_NESTING == 64
GL_MAX_EVAL_ORDER == 40
GL_MAX_TEXTURE_MAX_ANISOTROPY_EXT == 16.000000
==============================================================
Success!
INFO: Initializing the SDL_ttf font handler version 2.0.10... Success!
INFO: net_initialize: Networking not enabled.
INFO: Initializing SDL_Image version 1.2.10... Success!
INFO: Intializing SDL Audio... Success!
INFO: Initializing SDL_mixer audio services version 1.2.11... Success!
[Script debug document is empty]
I don't know whether it is just Vista's suckness or a general problem.