Vista is just like XP, Microsoft tried to make the OS "Backwards Compatible"
with older operating systems. In other words, your game should install from
the CD just like it would in Windows XP.
Now you said "download", if you're trying to download the game from the
Internet, well i'm not sure where you get that, but if you have the
installation CD just follow the instructions that came with the game. With a
couple exceptions, not much has changed from XP to Vista.
They should install just fine. If not, you can use "Compatibility Mode" to
give it a try. Just right click on the setup file and go to Properties, then
the Compatibilty tab.