VistaÃ¢â‚¬â„¢s default security settings will prevent Delphi 2005 from working properly. Before attempting to start the IDE change security permissions by granting full permissions to Everyone or at least your Windows User Account on C:\Program Files\Borland\BDS\3.0\Bin. Delphi writes to this directory. The default Vista security permissions on folders under C:\Program Files prevents this. Changing the security permissions overcomes the problem.
After Delphi is installed, right click on the Delphi shortcut in the menu. Select properties. Goto the compatibility tab. Near the bottom under Privilege Level, tick Run this program as an administrator. Any Delphi shortcut you set up should be configured like this in order for the Delphi IDE to have permissions on itÃ¢â‚¬â„¢s on folders and in order to be able to run application from within the IDE.
MinGW is broken under Vista. If you REALLY want to get it to work, search google for tips on how to get it to work, otherwise you could use Microsoft Visual C++ Express 2005. It's downloadable for free from Microsoft.