I just tried the same download link you did and the ISO begins to download correctly. I wonder if the problem lies in the association of ISO on your system.
An ISO file is essentially a container for a bunch of data. I holds all necessary files to create a valid CD the way the author intended, including bootable information. You could think of it like a ZIP file but for CD/DVDs and with extra power.
MANY applications can read an ISO image to show you the contents (winzip, winrar, ultraiso, poweriso, etc, etc), and it's possible that Vista has the capability to read ISO contents as well. It may be that the file you downloaded is being represented in such a manner that it looks like a directory with data inside of it.
I would recommend you start your burning software (Nero, Roxio, Freeburner, deepburn, etc). From one of the menu options look for an option to 'burn image to disc' (or other similarly worded option). It should prompt you to find the image (i.e. ISO) file to burn. Select your Vectorlinux 5.9 Live ISO image, plop in a blank cd in your burner, and burn the cd at a slower speed 8x, 16x, 24x (no faster than that). When it's done, reboot your computer with your cd in the cdrom and (assuming your system is set to check the cdrom at boot) you should be taken into the live booting routine.
Hope this helps.