Wow - I never would have expected this to be such a pain. To start, you should know that VS 2003 is not supported on Vista. You can, however, install and run VB6. So you can use VS 2005 or VB6, but not VS 2003. That's like saying Vista will support IE 7 or IE 5, but not IE 6. While that isn't a problem for me, it sure is confusing for the small time dev that might not be able to afford to upgrade to the latest version. 
The pain starts with a couple error messages that show up while installing Visual Studio. They basically say that the file being installed has known issues with Vista. You have 3 options, Run Program, Cancel and look up more information on the internet. What's not clear is how to continue the install. I think the Run Program button actually means Continue Install. When you look up more information about the error on the internet, you get a message that you need to install Service Pack 1.Despite the confusing message box, I continued the install by clicking Run Program for all the errors.
Once the app is installed, I proceeded to run Service Pack 1 for Visual Studio 2005 for Windows Vista. And wouldn't you know it, I got another very confusing error message. It said that this update is not for this version of Visual Studio. What the? I'm running Vista and I've just installed Visual Studio 2005. So what's not the right version? Argh - Turns out, the VS 2005 SP1 Update for Vista is not SP1 + Vista updates for VS 2005. It's a second update that needs to be applied after SP1. So there are 2 products:
Visual Studio 2005 Service Pack 1
Visual Studio 2005 Service Pack 1 Update for Vista
You need to install both of these, in the above listed order. The name appears to indicate that the second update is actually the full service pack with extras for Vista, but that's not the case. You need to Install both. Neato, eh? I guess I just figured that Vista has been out for a while now, and I downloaded VS2005 from MSDN, so the latest SP1 for Vista should be everything I need. Oh well, lesson learned. Hopefully this can help others faced with the upgrade patch error.