Try manually registering the dependencies, so:
1. Install the VB6 SP6 runtimes again. I don't know if there are separate downloads for XP and Vista. If you've already tried installing them as per the troubleshooting, then you shouldn't need to again, not that there's any harm I suppose.
2. Move the two OCX files (comctl32.ocx and mswinsck.ocx into the Windows\System32 directory.
3. Try running Pure Pazaak again (maybe needs a reboot too)
4. If it still has the same error, go into command prompt (Run -> command, or is it Run -> cmd)
5. Run these commands to register these controls manually:
regsvr32 comctl32.ocx
regsvr32 mswinsck.ocx
6. (Reboot?) and try PP again.