Reader IndigoBrown123 has come up with a way to get ZSX running on Vista; I still haven’t tried it, so use it your own risk:

OK I had that exact same error with ZSX:
Run-time error ‘429′:
ActiveX component can’t create object

On Vista but managed to get it to work. I had to do the following steps:

1. Download and Install VB6 runtimes:
http://www.microsoft.com/downloads/details.aspx?FamilyId=7B9BA261-7A9C-43E7-9117-F673077FFB3C&displaylang=en

2. Download and Install AllRuntimes.exe (as Admin):
http://www.spacejock.com/Runtimes.html

3. Download and Register dx7vb.dll (as Admin)
http://www.dlldump.com/download-dll-files_new.php/dllfiles/D/dx7vb.dll/5.03.2600.2180/download.html
Start -> Programs -> Accessories -> Right-Click ‘Command Prompt’ -> Run as Administrator
regsvr32 dx7vb.dll

4. Download and Register dx8vb.dll (as Admin)
http://www.dlldump.com/download-dll-files_new.php/dllfiles/D/dx8vb.dll/5.03.2600.2180/download.html
Start -> Programs -> Accessories -> Right-Click ‘Command Prompt’ -> Run as Administrator
regsvr32 dx8vb.dll

After that it all worked. I am not sure how many of these steps are necessary but the game works after I installed and registered that lot.

Thanks, indigoBrown123!