Can you tell me what to do? I downloaded Heroes 3, version 4.0 + WoG (just without it, the Russian font isn't supported), started playing, but as soon as I gain a new level, the game crashes!

First, try installing WoG according to the instructions - I often had problems due to incorrect installation with the Total Enhancement (TE) - it installs on WoG, and if you make a couple of mistakes, the game might not even start.
Second, try buying a licensed disc and installing WoG on it - pirated discs often have glitches.

If it crashes when gaining a level in 4.0 but not in WoG, then that's normal - WoG is guaranteed to only install on SoD or earlier versions of WoG.

P.S. If you need a working WoG and a working 4.0, install 4.0 twice, for example, in the folders c\games\Heroes3v4.0 and c\games\Heroes3WoG58f, and then safely install WoG in the second one.

Yes, without a disc. And it also doesn't want to run in compatibility mode, maybe it's because Vista isn't completely licensed? (meaning it's freshly pirated)

I don't think so...
It's more likely due to the unlicensed Heroes, it's not the Vista's fault. Of course, it could be the operating system, but Heroes runs on Vista, through compatibility mode, 100%. I would advise you to buy a licensed disc and not worry - and if it still doesn't work, then you should remove all optimizers, reinstall the video drivers, and DirectX.