As the UAC loads every file first and asks then for authorization it takes long to open the 800MB of EB, even with my machine I have to wait 3 minutes. If you have to wait more then ten minutes, there is something going wrong.
As you are running Vista, keep both the installer and the install-location out of "Program Files". Install RTW and EB better in sth like "C:\GamesRTW

Otherwise you could disable the UAC in the time of the installation progress, remember to activate it later, it is there for a reason!

If both ways do not work, first redownload the installer (best with torrent) and if that does not help, run a virus scan, maybe sth blocks your exe's.

XSamatan