After a lot of work and googling I finally managed to get Adobe Reader to install. The funny thing is that Adobe says that version 8 is Vista compatible. I'd like to question that, at least regarding the installer..
Adobe Reader 8 for Windows Vista
Started the installer, got the downloaded file warning but not the UAC dialog, then... absolutely nothing happened.
Then I tried "Run as administrator", still the same... absolutely nothing happened.
Googled around and found indication that running in XP SP2 compatibility mode might help. It did..
But come on Adobe, get your act together and produce an installer that Joe Average can use without extra fuzzing about!