Hope this info isn't coming too late... came across this topic because I was having the same problem. Turns out I was infected by what McAfee labels as the Ritart virus (which Avira didn't pick up!). I'm inclined to think you're not, because you're in the registry, something that Ritart blocks you from editing. But I throw it out there, just in case.
Are you logged in as 'Administrator', or are you a user that has administrator privileges? Those are not the same in Vista, and the Administrator account is disabled by default. And even if you have administrative privileges, just running a command the way you described won't launch the app with administrative privileges.
That being said, you should be getting a prompt if you don't have sufficient privileges, so it's very odd.
If CoolCatBad's suggestion doesn't work (note that you're in software\policies, not windows\currentversion\explorer) try creating a new shortcut on the desktop... enter "control.exe folders" as the command line, then right-click on the shortcut, picking 'run as administrator'. Let me know if that helps