After trying every hint I found on forums, I have found that, in my case, Fallout 3 is crashing because of the Realtek HD Audio integrated sound card. When I stop Windows audio service, game is started, otherwise I have ctd... I tried with latest drivers for Realtek 2.56, also with some older, but no success. I didn't found 3D SoundBack option...
Is there any solution for integrated Realtek HD Audio ??

FOUND IT !!!! ..with help of Shark007 codec pack...

After days and days of trying all sort of things, I was playing with options in Shark007 codec pack, and came to option which finally enabled me to play Fallout 3 on Windows 7 (on XP it was working fine btw...)

Option is on SWAP tab and it is called "Standalone MP3 splitter".
Everything rest I put on default values, since I changed almost everything until I found this....

http://img5.imageshack.us/i/shark007fallout3.jpg/