Continuing my Vista setup and exploration, I begun installing all the software and components I used in order to develop software. Most of the MSI installation packages (including Microsoft's CAB) though failed to complete under Vista.
It seems that some kind of privileged action needed in order to complete the installation, which is probably write access to the program files directory in order to write an InstallerState file is not allowed not even when the executable is running under an administrative account. The error message says that “Access to the path c:\program files\program\programInstall.InstallState is denied (P.S not event the administrator can change the access rights). The installation completes successfully though when a different installation path is specified (e.g. C:\Program\).
Ok it's nice to protect the OS from various things that could damage it but from the experienced user's perspective it gets really frustrating having to confirm every administrative action through a dialog or not allowing write access to the Program Files folder.