You have a point with those dialogs. I didn't use Vista but I remember all the clamour about UAC and how it further trained users to click blindly without understanding what's going on. Setup.exe's next next next could have been the first serial offender of that kind.
I'm sorry for that other issue. How does Windows complain exactly?
Same thing can happen with newer versions of Windows if you mount your C:\ NTFS drive from within Linux, then go boot into Windows. The warning basically says in so many words, the drive has not been cleanly unmounted and it needs to be checked. I've seen it, but I don't have the exact text handy.
In a geologic time scale at least, I believe that was actually a "new feature" some time after Windows Vista and maybe even after 7.
Linux actually does this on purpose, and has for some time. The NTFS driver was kind of scary for a long time (not sure if it still is) - read/write support was beta quality at best. So, the developers of the driver made Linux mark every NTFS volume as dirty, once it was mounted read/write. Then, when you booted into Windows, it would see it as a dirty volume, and do a file system consistency check on it - which is what the Linux driver was aiming for.
I'm sorry for that other issue. How does Windows complain exactly?