I noticed Tom blogged about this a couple of days ago, and of course he is correct, but I just wanted to mention the approach I've been taking since it has been working so well for me.
The specific point in the installation that fails is during the registering of the guidance packages with Visual Studio and of course it is a result of the UAC security features of Vista. The error code is 2869 and looks like this:
Basically, the installer is doing naughty things and Vista don't play that. Kudos to Vista for doing the right thing, but I can't promise we will be able to fix GAT/GAX in the short term. I can tell you, however, that we'll do our best to address this issue in the future versions of the software factories next year. Now on to the work-around.
Even though Vista will do the "administrator prompt thing" shortly after install (if you just run the MSI), it is still not good enough for the installation to be successful. I think it might have something to do the fact the installer is spawning up an instance of devenv.exe (told you it was naughty), but I don't know - because forcing devenv.exe to always run as admin didn't seem to help either. But this does ...
Start up a Visual Studio 2005 command prompt as administrator:
Once the command prompt is open, just navigate to the folder where you've downloaded the MSI to and run msiexec.exe /i on it:
If you do this, it should work with no issues. I and others have done this several times and it's worked for me very reliably. Good luck!