Well, Joshgrr... your tip did NOT fix it.
It DID, however, inspire me.
I did not know that all of that extra stuff was there in the properties box. Since it was, however, I began messing with it.
I am running Windows XP, Media Center Edition.
Looking in the properties box, I saw that it was set to be compatable with Windows 2000. Shoot, I thought, that might be the issue right there.
The problem, though, was that there is no Windows XP option. There is only 95, 98, NT 4.0 (service pack 5) and 2000.
I tried 95. No dice.
I tried 98. No dice.
I tried NT... Lord have mercy, it worked!
I don't know why. I don't understand why.
Who knows, though. Maybe it will help someone in the future.
If you are reading this, and you are getting the grey screen at startup, try right clicking the icon, going into the properties dialog box, and changing your "Compatibility Mode" to something else... even if what you are trying seems like the best option.
Thanks again to everyone who offered help.
Oh, and Josh... I'm a Mr.
Eric