Are you shutting down all non-essential programs (especially anti-virus) before trying to install the game?
How long did you wait for the setup program to start? ForkTong said above that it can take awhile for Vista to 'check' the executable before running it.
Troubleshooting Tips (& manual install procedure) - several archive managers are mentioned in this topic for the manual install;
IZArc is the only one that specifically mentions Vista support on its homepage.
