FS9 under Vista requires DEP to be turned off. Instructions how to turn off DEP are provided on page 14 of the Zurich manual, fsdt_install_guide.pdf.
Another reason why the program quits to deskop, might be an older Esellerateengine.dll file somewhere in your system. To remove an old version, do this:
Look for the following files:
c:\ProgramData\Esellerate\esellerateengine.dll (this is an hidden folder, you have to enable hidden folders view in Explorer to see it!)
c:\Windows\esellerateengine.dll
c:\YourFS9Folder\esellerateengine.dll
If you find *any* of these in any of these locations, manually delete it.
Install latest Zurich version, then re-launch FS9, it will replace the newest/correct version at start. We are updating the installer to make this cleanup automatically in the next release but, for the time being, this should work.