That's normal if you didn't install the drivers. The device will still charge. I haven't tried this, but you might even get the drivers if you run Windows Update with the device plugged in. You could do that under XP.
If you did install the drivers - either by installing Desktop Manager 4.2 SP1
or later, did you right click the installer and select Run As Administrator when you did? If you didn't, uninstall and reinstall running it that way.
If you installed anything earlier than 4.2 SP1, uninstall it and install 4.2 SP1 (or 4.2 SP2 - see below).
If you don't want the entire Desktop Manager, you can install just Device Manager which will also install the drivers.
I haven't looked at 4.2 SP2 under Vista yet, but it's HUGE and I don't care for the Roxio Media Manager which is useless unless you have a Pearl or 8800. (and my instincts say it may have problems with Vista). You can install DM 4.2 SP2 without Roxio Media Manager if you select a custom install, but they haven't posted just Device Manager 4.2 SP2 yet.