Hmm, I'm going to guess you launched the game from a shortcut, and that shortcut doesn't set the working directory to the same folder as the executable?
I've never heard of this happening before.
Either that, or it's something to do with Vista's file system protection? I think Vista is a little more unix like, in that users don't have write access outside of their home folders unless they are administrators. That might be some sort of backwards compatability hack so that the game still has a place to save it's files, rather than just throwing an error about write protection.