Have you run the DirectX web installer? Sadly, having DirectX 10 doesn't mean you have a more recent version of DirectX. Running this tool will get both DirectX 9 and 10 up to date on Vista.
If that doesn't work, I need you to do a bit of investigation for me. I want to know if the contents of the wrapper are being exported correctly. This will be a bit involved and will only gather information, but it will help me figure out the issue.
1) Make sure you don't have any Telltale Game running.
2) Call up your user folder. This is usually at C:\Users\*\
(The * being your Windows user name.)
3) Click on the address bar in this window once. This should turn the display into the normal folder structure.
4) Append the string so that it looks something like this:
C:\Users\*\
AppData\Local\Temp\
5) There's going to be a lot of stuff here, but I want you to focus on the folders. Any folders with a long string of random letters and number you should delete. As an example: 26F753877B6D46339BA9F01A5E954547
6) Sort the folder by date modified, with the most recent folders on top and in view.
7) With this folder still open, launch Strong Bad. When you get the crash, DON'T CLOSE IT! Keep the error box up for the time being.
8) Examine the temp folder. Did a new folder with a similar super-long string of numbers and letters show up?
If so, look into this folder. It should have a subfolder called 'launcher' and then a bunch of files and folders inside it. If you don't see any of these things at all, tell me. If you do, tell me.