Not Program Files?

[brymht]

Is XP any different? Are there any really performance issues?

[overweightninja]

Is XP any different? Are there any really performance issues?

Vista introduced a feature called "UAC" (google if you're fussed), in short it prevents alterations being made to files in certain places without administrator permissions being given. Most modern games now place a folder in "my documents" or a similar location for the purpose of storing save games, configs etc as these are modified on the fly by the game. RTW however stores all its configs and save data within one install folder, which causes problems when the game tries to modify these files under UAC conditions (which affect the "program files" folder).
XP doesn't have this feature, so not a problem.
As far as performance goes, Strictly from an EB point of view XP is better, but there's a bit more to it than that speaking generally, I suggest you check out one of the many tech forums/sites out there for more information on Vista vs XP
Hope that helps, cheers.