This is common. The first thing you will want to do is disable UAC in Vista. You can do this by clicking on the start button then typing "msconfig" without quotes and press 'enter'.
In the new window that comes up, go to the tools tab and locate "disable UAC" in the menu. Highlight it and click the 'launch' button in the bottom right. It will give you a message that it completed successfully.

Navigate to Computer>C:\Steinberg\Wavelab and right click on the application icon. Select Properties>Compatibility then check the box that says "Run as administrator" then click on ok.

You can now launch Wavelab.