There hasn't been an official statement yet stating which NX version will fully support Vista, but nowadays I hear quite a few people complaining that they've just bought a laptop, and noticed that it is preconfigured with Vista instead of Windows XP. I'd run back to the computershop if I were you, but here's what you can do to make the "Unigraphics License Server" work.
Begin installing the license server from the NX4 Base installation CD. After copying files, you'll see an error saying the service could not be started. Before hitting Cancel, copy all the files in the "C:\Program Files\UGS\License Servers\UGNXFLEXlm" directory to c:\nxflexlm . Then cancel your installation, and launch a Command Line.
In a single line, enter
echo @C:\nxflexlm\lmgrd -c c:\nxflexlm\ugnx4.lic -l C:\nxflexlm\log.txt >c:\nxflexlm\nx4_server.cmd
Then add C:\nxflexlm\nx4_server.cmd to your Startup directory.
For NX5, I received no errors at all while installing both the license server and NX itself. I must remind you that this is a non-supported configuration, and you'll most probably be denied to log a call if a problem of yours cannot be duplicated on a certified system of GTAC.
This might be a workaround till the drivers for Vista gets stable and Siemens starts supporting Vista.
UPDATE: Thanks to Stian's comment, another workaround is just copying the lmgrd.exe from an NX5 installation overwriting the one in NX4. This way you'll be able to start your license server as a service.