1. The most common and simple reason is you are not running the set up or actual game under administrator.
From Vista Support
"1. Locate the applications icon or short cut and Right click on it.
2. From the Drop Down Menu select the Run As Administrator option.
3. Now click the application icon or short cut and it should run.
4. When the User Account Control (UAC) message appears enter the appropriate credentials if you are logged on as a standard user, and click the Submit button.
5. If you are the Administrator and UAC is not configured to always require credentials, just Click the Continue button and the application should start."
2. Your Graphic drivers are not completely updated, The most common drivers used are;
4. Another program most commonly Xfire, MSN, and Skype or your Anti-Virus Program are interfering with your Crossfire Game. . Please disable all un-needed programs either manually or with a program such as Smart Close while running Crossfire. You must disable your Anti-Virus Program, or Add Crossfire to your Anti-Virus Program's "Exceptions List" - You can google how to do this for your own program.