WTL 8.0 is out now so I decided to install it on my Vista box. Now that I know a bit more about Vista security, I launched a command window in Administrator mode in order to run all the setup scripts (desktop, Windows CE and Windows Mobile). All went smoothly.
Then I decided to install Sergey Solozhentsev's WTL Helper tool. No issues again (nice!). This great tool requires that you download and install a new WTL Wizard from Sergey's website. Instead for using a JScript file to install everything, Sergey's Wizard uses an MSI file, and this is when I felt the iron grip of Vista security again: the MSI just would not install reporting an error number 2739. My friend Google pointed me in the right direction, first to understand what this error means, and what to do about it.
For your information, I did not remove the JScript key but merely renamed it. Running the msiexec /i command from the admin command window did the rest of the trick.