Going to break the steps given down. Do all to get things going.
Got to the folder you installed CPT into. (mine is C:\programs\Chess Position Trainer)
Find ChessPosistionTrainer.exe (Vista does not show the .exe, just look for Type: Application)
Right click, then select properties.
Open the Compatibility tab
Check "Rin this program in compatibility mode for:"
Select Windows XP (Service Pack 2)
Under settings, make sure you select both:
Disable Visual Themes
Disable Desktop Composition
Click Apply
The Dialouge should look like this before hitting apply:

Hope this helps