I've been running Vista for about two months now. One thing I've noticed is installing msi files (install files) is a pain. One way around this is to create a small bach file that uses the msiexec.exe executable to launch the msi. When referencing the file names, you must fully qualify them.
Here's an example of one I used to install the Power Tools for Team Foundation Server:
C:\Windows\System32\msiExec.exe -i C:\Users\rternier\Documents\Downloads\tfpt.msi
Once you have a batch file (.bat) with that in it, right click it, and choose Run As Administrator.
And there you go.