You should be able to download on vista now Justin, that functionality was released in the early part of December. Like I metioned, it's not much of an issue currently, but it will be a big one when HD content is available.
Advantages of downloading;
* Store content for upto 30 days. As soon as you watch it, a 7 day limit is imposed.
* Better quality - HD will available later this year.
* You can move the WMV files onto other devices, such as a media center connected to your TV.
* Watch it at your convenience, without an internet connection - for example, on the train to somewhere.