Meanwhile I got another message box.
It's strange that I shall create these folders manually, but ok I did.
While doing this I found that the last re-installation created these two folders (Songs and Templates) also in C:\Users\Public\Documents - yes, no typo, not in C:\Users\Public\Documents\Notation where these are to be found too, with some content.
I'm starting to think that the Notation Software installation in Vista is somewhat strange...
However it didn't change the "stalling on file load on first Notation software run" problem. ATM I have no new idea what to try next...
...except probably trying an install on an NT machine...