Are you running it under compatibility mode?
I don't have any problems running SH3 on vista...so...hmmm...
But, the things I do to get most older games to work (and some programs as well) is to do the following.
Under the Compatibility tab in the right click properties menu, do this:
-Run under XP
-Disable Visual themes
-Disable Desktop composition
-Disable display scaling
-Run as administrator
Do those 5 things and see if that helps.
