From the page you linked to:
Supported Operating Systems: Windows 2000 Service Pack 4; Windows Server 2003; Windows Vista; Windows XP Service Pack 1; Windows XP Service Pack 2
Note that windows Vista is listed there.
It also says:
please install all High-Priority updates from Microsoft Update before downloading the Compatibility Pack.
Have you done this?
Have you tried saving the download to your hard drive and running it from there or did you just run it from the download page?