Few folks have been trying to install utilities and SDK from web on SUA running on Vista/LH.
They get the following error -
"Setup failed to create the symlink etc\hosts."
This happens normally when you attempt to install SUA SDK on post Beta2 (5384) Vista/LH builds.
Be logged in as an administrator. You need to run setup.exe and not setup.msi, and allow the program to run (a UAC prompt comes for unidentified program).
Another option is to right click and run setup.exe as administrator.