Okay, I am shooting in the dark. From my experience nd from your description, I am suspecting a profile issue in Windows vista.
Try this...
* In the registry, Navigate to HKEY_USERS\.DEFAULT\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\
* Change the value of Appdata from
%APPDATA% to %USERPROFILE%\AppData\Roaming
* Close the Registry and try to install SEP.
Unfortunately, if that doesn't help get us the install log :)