I've been running SH4 with Vista 64bit for a very long time. I haven't seen your problem at all. As someone else said it could be a Codec issue although I have K-lite installed. I don't install games to the "Program files" folders, they are problematic if installed in there due to special permissions set by default on that folder. I would try installing it to C:\Games\SH4 or something like that. Another thing you could try is right click on the shortcut and select "Run as Administrator".
As a Zanthan said it is pretty essential that you let the game install DX9.
My specs are are quite similar to yours.
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