Try modifying the shortcut to "Run as Administrator" (Under compatibility) and to see if this would work right now, before you modify the shortcut, simply right click the file and "Run as Administrator". The configuration file would be written to C:\Program Files\Smokin' Guns, and in most cases, such as yours, the fact is: 1.0 does not support the alternate and new default configuration directory which Vista's UAC feature would be happy with.
You can run as administrator as a workaround, and later upgrade to the current development version binary of the 1.1 engine. (Please help us test our new binaries)
I have them hosted at
http://www.smokin-guns.org/downloads/binaries/current where dependent on your hardware, you would chose the corresponding executable file under the win32/x86 directory index.
If you have AMD Athlon, Duron, or Thunderbird class, use generic.
If you have later AMD Athlon XP, use sse.
If you have Pentium II, III, or early IV, use generic.
If you have later Pentium IV, Core(1)/2, post-2005 Xeon, Opteron, Atom, Phenom, or i7, use sse2.
Simply place the downloaded smokinguns11 executable into Smokin' Guns program files directory, and confirm the move action, then creating a new shortcut to the smokinguns11.exe file, renaming the shortcut itself to something more pleasant, such as "Smokin' Guns (1.1)". You also need the win32/x86/shared/dll/SDL.dll file in the Smokin' Guns directory as well. You can safely ignore the rest of the dll, asm, vm, and debug files.
A copy of the default.cfg file will be copied from the default one located in C:\Program Files\Smokin' Guns\smokinguns to the C:\Users\myuser\AppData\Roaming\SmokinGuns directory after first run of the 1.1 version. You can later modify with notepad or another editor to fit your needs, then see if it works for you.