Welcome to PPG,
There were a couple of people with problem like yours - I think it's Vista-related. Try searching for "vista", "installation" and "trouble" - should help.
Here's one of such topics:
http://forums.pocketplane.net/index.php/topic,26638.msg320882.html#msg320882And, yep, making sure you're installing it in your BG2 folder is the way to go.