First: Don't use TinyXP. NLite your own windows XP, or use a full windows XP. TinyXP strips out all sorts of useful things that generally break stuff.
Second: What is this application? Was it created purely for Vista? It is possible to write applications that run on Vista, and not on XP. Have you checked to be sure the application is compatable with XP?
When you say "nothing whatsoever happens" Do you mean the program never starts? It starts and stalls (but is still in the task list), what?