Do you get that error from the Java site, or is it a Windows error? I can't find that error listed on the Java site.
Have you ever had trouble saving other installers? Whereabouts do you normally save installers to? Try changing the location for saving that installer. Does it work if you save to My Documents? I don't use Vista but a few other people have had problems with saving locations, seems to be a weird Vista thing.
I doubt this info's going to help at all, it's talking about the LW saved folder but it still might give you a clue & it's about the only info about Vista & saving files around here
Sorry if it's no help.
Files missing from libary Can't find files outside LW