In my case, I've downloaded an exe installer program on the Mac side which downloads it into my Downloads stack. I've set it to open with Windows Explorer in Vista. I see the icon in the Mac dock but nothing happens. Eventually, it quits and the icon goes away.
This works properly with Windows XP, so I'm wondering if it's one of those "security" issues in Vista. I have the ACL option turned off. In my VM's preferences, in Shared Applications, I have both "Share Windows application to Mac" and "Enable SmartSelect" checked; Shared Profile is disabled; In Shared Folders, I'm only sharing my Mac's Home folder.
Any suggestions?