The first time when you are trying to perform desktop sharing in Vista you will receive an internet explorer security pop up as shown below. Please check the checkbox (Do not show me the warning for this program again) and click on allow, the message should not come next time. You need to check these check boxes (2-3 times) for first time when you are sharing the desktop. Please see the screen shot attached.
It may be possible in Vista you might not be able to perform desktop sharing for the first time. After going through the above workflow you should be able to perform desktop sharing without receiving this pop up.