The fact that the game folder in Documents and the .cfg file are not created doesn't necessarily indicate a permissions issue; it's possible that the process doesn't even reach that point and crashes earlier. =)
Has DirectX been updated recently, using the web installer at dxwebsetup?
Also, install vc2005sp1.
And one more question: do any other games work at all? It would be easier to diagnose if only Heroes 5 is crashing.