It is pretty simple, or at least this works for me:
· Right-click the RPG Maker (make sure you don't right-click a shorcut).
· Select Open as an administrator, or something like that with the Vista symbol indicating that it needs special permission.
· Give permission to the program.
Apparently, the problem is that when RPG Maker starts, it tries to access the web, but fails because Vista blocks it.
If that doesn't work, I don't know. :P
I have Vista, and I had that error message shown when I opened both RPG Maker XP and VX for the first tim. Both solved. :)