I had Vista, not anymore. It annoyed me. ;) PW worked fine on Vista.
I didn't install the PW client through the installer, I had the client files already installed on another disk so I just started it without installing. Don't know how it behaves with the installer. It can't really see how it should be problem, however, because it uses Winows Installer, and it would be only natural to assume that Vista can handle it.
On the other hand, I too have experienced some odd problems with the PW installers; sometimes they just don't seem to want to install. If I remember correctly, a solution I've used is to install with the big installer, copy the files when it errors (before it removes the files), install again with the auto update installer (just an installer that works; autoupdate only installer may or may not work for you) and put the files back in the folder. This
I'm gonna talk to Dange about it and have him look into it.
If it's just a corrupt download, a re-download will fix it. Make sure you delete the old file and clear the temp folder before trying again.