I just found out, installing the firewall on Vista doesn’t automatically disable the built-in firewall. This results in network slowdowns. After manually disabling the Windows Firewall, performance reverts to normal.
Also, in order for the installation to proceed to completion, I had to run it “as administrator” from an administrator account. Otherwise the firewall would not start correctly (red warning icon in the summary window). This may be related to UAC, as I have it disabled for members of the admin group only.