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I have Vista 64 bit Premium and have a suggestion though maybe it doesn't apply to Vista 32 bit. (Why are there so many versions of Vista?) Anyway my SH3 Commander folder is actually in \Program Files (x86)
So check to see if your SH3 folder is somewhere other than just the normal \Program Files.
Other thing that might help is to turn UserAccountControl off.
Thank You Otto, That was my problem...