In the actual application folder itself within the "All Programs" area in the Start Pearl (isn't that what they call that thing in Vista? I can't remember) there's an icon labelled "Edit Configuration." Run that and uncheck the Fullscreen box.
To run something as an administrator in Vista, just right click on whatever it is you're trying to run, and click on the Properties option at the bottom of the list. On the window that comes up click on the Compatibility tab and then check the box at the bottom that says, "Run this program as an administrator."
Definitely going to be helpful for running the Configuration application, maybe not necessary for running the game itself but I did it just to be safe.