The instructions at page http://www.arduino.cc/en/Guide/Windows show screenshots for XP I guess but it looks different in Vista. When you plug in the board via the USB cable it asks if you want Vista to "Located and install driver software" but if you click this it goes to Windows Update which is what the Arduino instructions say not to do. So click the option "Don't show this message again for this device" and then go to the Control Panel and then Hardware/Sound and then Device Manager and find the USB Port with the exclamation point which means it's not working properly. Right click and select Update Driver. Then browse to the driver provided by Arduino in the zip file in the Drivers folder and then FGDI USB Drivers folder.
Hope this helps.