The most important part it to have a clean install. If you have any problems, ALWAYS follow these instructions FIRST, BEFORE posting anything. Many problems are solved if you follow these instructions.
DW needs to be installed over a clean, unmodified HttT install. The HttT install need not be patched.
First off, uninstall your previous game version. Use an uninstaller like cccleaner (free), as the windows tools are... poor. Also, check for any remaining registry edits that need to be removed. cccleaner can do that for you.
If you use Windows 7/Vista, Microsoft has added so-called "compatibility files". Basically, anything that gets changed in the C:\Program Files directory will be put into the compatibility files. So, you'll need to delete those files as well. Either click on "compatibility files" in the windows explorer, or go to C:\Users\YOUR-NAME-HERE\AppData\Local\VirtualStore and search for the Paradox folders in there.
Manually delete all remaining EU3 folders
Reinstall the game. Do not install the game to C:\Program Files (this will save you a lot of trouble with the compatibility files). Instead, install it to C:\games\EU3, or any other directory not in C:\Program Files.
If you use Steam, then it is possible to move the entire Steamapps folder to somewhere else outside of C:\Program Files: https://support.steampowered.com/kb_...7710-tdlc-0426
Install all expansions in the correct order (NA-IN-HttT-DW, or Complete-HttT-DW), do not patch the expansions. Take extra care that you install each expansion in the right directory (the one you chose above). DOUBLE-CHECK this, the installer will often default to the C:\Program Files folder. ALWAYS point the installer to your installed directory. Also, sometimes the installer picks sub-folders of your own folder. Make sure you chose the correct folder, not parallel or sub-folders.
Right-click on the EU3 icon and select the options to disable desktop composition, and to run as the Windows Admin user.
If you have Win7/Vista, disabling UAC can also help
That's it, run the game to see if it works. You might want to delete the contents of the \map\cache\ folder (in your EU game directory). Do not delete the whole map folder!