I hope you meant DVD, not CD...
That message is weird since Vista supports that UDF file system protocol.
You're right...it shouldn't be, but obviously it's going to be (for you anyway..
I'd redownload the ISO and verify the checksum, and try it again with ImgBurn. I also tried a Nero 9 burnt DVD that failed to work as well and that's when I went to ImgBurn with no probs.