I dunno what the deal is with Vista, but I don't have such issues in XP. I just tested on an oooold DOS fractal generating program I used to play with back in the 90's. It ran fine, popped up in full screen. The only caveat was that video modes were limited as the program requires direct hardware access which is a no-no in windows. But several lower resolution modes worked fine.

And I didn't do anything special. Just double clicked on the exe file.

Brian