Yes, it's apparently a driver-issue or to be more exact: A resolution-problem.
I guess some thing with the new blink-version?
Anyway, that bug is not related to Vista or XP, as I get the error on both systems, especially after playing any game and not rebooting before starting E:TW.
I also read in different forums that this bug occurs with nVidia and with ATI, especially with the latest Cats, which seem to be quite buggy in combination with some games. I didn't get the chance to test them, yet.
Concerning the installation problems, I read similar statements on other forums. It seems that it is best to install STEAM from the download-installer and complete that installation and update-process, before installing the actual game from the DVD.
E:TW is really awesome, with all the details and possibilities. A *lot* more complex than any other TW-game so far and much harder in battle. With the techtree, advanced diplomacy and regional resources, it's rather a Civilization5 with tactical engagements.
