Since you got Vista, i suppose your problem is something different:
In case you installed your game in "C:\Program Files\", you are most likely a victim of Vista's so-called "Virtual Store".
Your problem should be solved, if you move the Smokin' Guns Folder from "C:\Program Files" to any other location on your PC (e.g. "C:\Games\"). I suppose, also pardner's suggestion ("Run as Administrator") would fix the problem.
In case you don't want to move your Smokin'-Guns folder, you might consider to update to 1.1b3 (1.1 beta 3) which can be found here:
viewtopic.php?t=2004The problem you descriped most likely won't exist in 1.1, but like the name indicates, it is still a beta. For more info, check:
viewforum.php?f=33/quit