I had a lot of problems on the way and before you even start thinking about it, look at these issues part of the known issue list for running Visual Studio 2005 with elevated privileges on Vista.
But before you do that have a look at this! On a completely new installation of Vista you will find out that your Remote Desktop connections are running very slow. This is how you can fix the problem. Too bad that you have to lose a neat feature of Vista.
Remote Desktop slow problem solved
Visual Studio 2005 on Windows Vista Issue List
Running with elevated administrator permissions
Title: Just-In-Time (JIT) Debugging of an elevated process will fail
Description: Elevated processes cannot be JIT Debugged by VS 2005. This includes system processes, such as IIS, and applications started by selecting ‘Run as administrator’.
Workaround: The debugger must be attached manually before the debugger will catch unhandled exceptions or user break points (System.Diagnostics.Debugger.Break, __debugbreak, etc).
Title: Dataset Designer extremely slow on Windows Vista
Description: The Dataset Designer appears extremely slow on Windows Vista. This is due to a change in the way Windows Vista supports Windows painting and renders the designer mostly unusable.
Title: Debugging Web applications on IIS may fail without the IIS 6 Compatibility Layer installed
Description: ASP.NET Debugging against a Web application running on IIS 7 may fail without informing the developer as to why.
Workaround: Developers should install the IIS 6 Compatibility Layer for IIS 7.
Title: Opening a web solution with many sites is much slower on Windows Vista
Description: Users with web solutions that refer to many sites (typically 20 or more) will see a large decrease in performance when opening the solution. The solution will open but it may take some time.