Vista should not be an issue with Steam's versions of the games, nor should DEP (but turning it off is worth a try).
They are using a different activation system than we do so this is probably a question for them. To be sure, you might try downloading the trial versions of the same episodes from our website and see if you get errors. You can get them from the www.telltalegames.com/samandmax
page - just download any of the demos (which are actually the full games, with only the demo portion available) and see what happens.
Gosh, this is not good... It was just released on Steam and this is the one rare occassion I haven't seen Jake/Emily/Ryan/ect on.
Well, the original post was made at 5:39 am on a Saturday morning. We're dedicated, but not THAT dedicated.
EDIT: Could you tell us your computer specs (video card, etc)?