I was using Windows 8. I just went in and tried to do it in compatibility mode for WIndows 7. I did this by going into the steam folder for the game and setting the exe to run in compatibility mode. This did not change it. I also tried it on Vista and XP.
When I saw pitched_black mention he also had the same problem on a Macbook Pro in VMware, I went off to set up a bootcamp partition to try a sanity check its really limited to VMware Fusion. The first attempt at installing it via Bootcamp was producing an odd error ("App already running" on my first launch attempt). I'm redownloading it on the bootcamp partition now while I'm typing this.
I'll try to get you two more information when my class ends, such as attaching DXDiag txt.
@Bazgrim: I couldn't find Advanced Color Management on Windows 8. I went into start and also tried searching for "color" without the quotes. It didn't bring up any results.