Alternatively MinGW with GCC 4.2.1 (Technology preview) works straight out of the box on Vista, if you are game to use it. I have not had issues with 4.2.1 (not driven by C::B) except that you have to generate debug with -gstabs, NOT! just -g (on sjlj release) for it to work OK with the latest GDB.
A quick trick to get the latest MinGW technology preview at one go (including 4.2.1 sjlj and all current tools), is to grab and install the Quincy 2005 IDE from
http://quincy.codecutter.org (just released. It comes with an easy Windows installer), then copy the MinGW directory and uninstall Quincy. You'll save hours of work getting a proper, Vista-working MinGW. I know, I built that Quincy release and it has been fairly well tested (not just by me) on Vista.