Hi,
I just wanted to share my experience with the dual boot of Lenny and Vista, with Vista pre-installed.
The known issue was the problem with the GRUB boot loader saying not to install it in the MBR if we still want to be able to boot with Vista.
During the installation of Lenny, I tried to install GRUB on another device (not the one containing the MBR of Vista) and of course I came up with a GRUB-install fatal error. Fair enough.
I came back (using Go-Back) and reprocess the last action before the installation of the Grub, then I choose the option to not install any boot loader (for further manual installation) and there...O MIRACLE!!!!...I received a message saying that my Vista was detected, meaning that I could install the GRUB loader in the MBR of the first device without any trouble. I now have exactly what I wanted at first time:
not having Vista but Lenny proposing me the dual boot. Why? I might need Vista some day so I keep it in a small partition of my laptop the rest being dedicated to Lenny. So since it is for me a Lenny machine, don't want to use windows to load it. As simple as that!

Good luck

Glad to hear that everything worked out for you so far notgigilo. One point that brought up I thought was worth commenting on: Installing to the MBR portion of your hard drive doesn't necessarily remove the information that windows (XP or Vista or whatever) already has there. In fact, in most cases the data that was previously stored in the MBR is simply saved in another location on your linux partition. Then, when you uninstall your boot loader (say, in the event of a failure), you can simply move the NTLoader or whatever else suits you back to the MBR. Just something to keep in mind next time you worry about installing GRUB or LILO to an MBR.

Live, Love, and Learn Linux. Enjoy :-)

thank you gankoji for the comment. Before doing anything I read a lot concerning this dual boot and you are the first one to tell me such thing. I will keep it in mind for next time because as I didn't know it the first time, I tried install the Grub anyway and lost access to my Vista saying missing operating system. I didn't care because it was a new machine and I re-install everything.

I discover Linux and glad to do so!