I run ST on both XP and Vista alike here without ptoblems. If you had problems downloading and installing it you most likely still have the Windows firewall active there. ST has it's own active protection process that would conflict with the Windows version.
This would be similar to need to remove one antivirus program in order to install another. To disable the Windows firewall simply double on the icon found in the Control Panel to turn it off there. Then try running the installer. If you have any antivirus or other IE protection software exit that as well. That should allow ST to go right on.