I am afraid there are BIG problems with Windows Vista.
People are suggesting that nobody upgrades, and for a new PC you should try to get one with Windows XP on it.
Vista is a major upgrade from XP and many programs do not run on it, and lots of hardware does not work because there are no Vista drivers available.
This has been a disaster for Microsoft.
To answer your specific question.
To install programs on XP and Vista you need Administrator authority.
While on XP Administraor authority is the deafult, on Vista I think you need to change yourself to be an Administrator before you can install anything.
I have not used Vista enough to tell you how to do this, maybe someone else can help.