I don't know how many of you are still struggling with this problem,
But don't worry, I'm here to help you out
Now, first of all, I was having the same problems as mentioned earlier; no start up banner, no selection box, etc... and currently running under Vista. If you do not have these problems, i can't assure this method will work (not that i can otherwise but still).
What I did that solved my problem was to open up an explore window (right click the start menu, for all 50+ out there, no offence) and went to C:\program files
Here, look for blender foundation, double click, then double click the folder blender. You should now see a list with some files. Right-click on the blender.exe file and go to 'properties'. In Vista, you should see a menu saying compatibility [might need administrator rights, don't know]. Click it, and click the box saying "run this program in compatibility mode:" and select Windows XP service pack 2
After I did this, Blender seemed to run fine (i haven't actually tested it much yet, felt like I should inform you lot first
) so I'd say give it a try.
make something nice