I should have clarified, when you have the save as window open and create a new folder in Vista it will automatically open it as it assumes you want to save the file in the folder you created. You can test this easily in IE by downloading something.
In 7 it doesn't do that, it acts like it does in windows explorer where it simply creates the folder you want and leaves it at that. Exactly the same way XP worked.
It doesn't seem to be an IE thing, as far as I can tell, as I have IE8 on both.