There is a known bug (that we're investigating) that only appears on 32-bit Windows with SP1 installed. If you have this setup and PyMOL refuses to launch, please set PyMOL's compatibility mode to plain Windows 7 (without SP1). All other modes are known to work, except this one mode (and only through direct machine access: rdesktop access is not affected).
Locate the PyMOL program in the 'Start' panel, but instead of launching PyMOL, right-click on it, and then select 'Properties' > 'Compatibility'. You will then be able to turn on compatibility mode, and select one of the following: