Not sure if the UAC (User Account Control) in Vista could be causing this - it was among the very first things I disabled on my system as I knew from reports that it was going to be a royal pain the ass and entirely unnecessary if you've got the usual other proper security measures in place.
If you've got it turned on at the moment, it takes just a few clicks to turn it off. Open the start menu, click your user icon in the top right corner and at the buttom of the screen that pops up is "Turn UAC on or off".
Be advised though, there's supposedly something about potential conflicts with settings or something similar in some applications if you've installed them before turning off UAC. Not sure how common that is though, since - as already mentioned

- it was the first thing to go before I did much of anything else.
I just tried the download link you gave in IE7 (Vista 32-bit) - works fine for me.
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