I discovered a bug in our code. DownloadManager.java, method getBundleURLs:

   File tmp = new File(getBundlePath(), "urls." +
                   getCurrentProcessId() + ".properties");
           tmp.deleteOnExit();
           downloadFromURL(url, tmp, "", false);

We are trying to write to c:\program files\jre6\lib\bundles\urls.xxx.properties, which will fail for sure on Vista running IE 7 promoted mode.

Under medium integrity, it will work but the file will be written to the virtualized directory. Under high integrity the actual write will work.