I just downloaded Europe Universalis 3 on Steam last night, but it won't play, I just click "play" and it doesn't do anything.
Try closing steam and deleting your clientregistry.blob file and restarting. If that doesn't work it sounds like you need to contact steam support (if the game isn't showing a splash screen or anything).
Don't you mean: "Thanks Uncle Boyarpunk"?
As I said before, always keep your display drivers up to date.