Sorry if this issue has been reported elsewhere, I looked to no avail.

The application.cfm file in the /[project]/www/install/ folder contains the following code:

<cfset lAllowHosts = "127.0.0.1" />
<cfif NOT listFind(lAllowHosts, cgi.remote_addr)>
<cfthrow errorcode="install_invalid_host" detail="Your IP address is not permitted to access the install directory." extendedinfo="By default, installation is only permitted to the following hosts : 127.0.0.1 To give access to other hosts, then append the desired IP address to the variable lAllowHosts in /[projectname]/www/install/Application.cfm">
</cfif>

By default, Vista will use the IPv6 network stack for network connections where possible. This causes vista to identify localhost as "::1" instead of 127.0.0.1. This means the above check fails, and the installer cannot be run as is on Microsoft Vista.

The easiest fix to modify this line:

<cfset lAllowHosts = "127.0.0.1" />
to
<cfset lAllowHosts = "127.0.0.1,::1" />

Notes:
This issue would probably manifest itself in Microsoft Server 2008 as well, but I haven't tested this.

Note that from version 7.0.1 Coldfusion has included the function isLocalhost() to identify if a specific IP is assigned to the localhost, and this returns true in CF8 to an IP address of "::1"

References:

Link to livedocs mention of the vista localhost IP value:
http://livedocs.adobe.com/coldfusion/8/htmldocs/help.html?content=introducing_cf_3.html

Link to livedocs reference for function isLocalhost()
http://livedocs.adobe.com/coldfusion/8/htmldocs/help.html?content=functions_in-k_23.html#5161602