Here's a link to Gaurhoth's PowerShell Thoughts: Homebrew Installer for PowerShell on Windows Vista (updated) which contains updated information on building your own PowerShell installation program for Vista. Note: this approach, while it works, is probably not supported by Microsoft.
MS has delayed a working version of PowerShell on Vista until the consumer launch at the end of January. I found this very disappointing although I'll agree it is not the end of the world. The reason for the delay is not really a technical one (as in Vista supports PowerShell just fine!), but a legal one.
The ingenuity of the community to figure a way around the legal issues is quite impressive. I'm glad to say I'm running Vista RTM on my laptop and have PowerShell RTM working just fine.