That depends entirely on how the program was written and what version of Vista you are running. On 32-bit versions of Vista, you can simply run the installer as normal and then try running the program. If the application doesn't work correctly, use the program compatibility wizard to enable compatibility options for the program.
The process is the same on 64-bit version of Vista, with the exception that 16-bit applications cannot be run. To run these, you will have to run them using an older version of Windows in a virtual machine, such as Microsoft Virtual PC, Oracle VirtualBox, or VMware.