I had the same problem on Vista 32-bit version. After some digging I think the problem is Vista's Data Execution Prevention. If this is turned on in Vista, Connect Reader will not start. In 32-bit Vista, this is usually turned off. I think in 64-bit Vista, the default is on. To turn it off, go to Control Panel, System, Advanced system setting, Settings, Data Execution Prevention. Either turn off DEP or add an exception for Sony's CONNECT reader.exe.
Hope this helps!