Apologies, my mistake. I was thinking of someone else who I've talked about Quick View Plus with in the past.
Ah, okay; that makes sense. I thought you were saying AI files could be viewed without having to install or configure any 3rd party stuff. ("Adobe PDF for Vista" is part of Adobe Reader.)
Windows can't view PDF or AI files out-of-the-box, but lots of people have Adobe Reader and that can display many AI files (ones saved with PDF compatibility, as you mentioned). For some reason Adobe don't make it to do so by default but my post above about configuring the ActiveX plugin explained how to change that.
A future version of the ActiveX plugin will pass .ai files to the Adobe Reader preview handler automatically if nothing else is set to handle them, so this will work automatically for people with Adobe Reader installed.
Alternatives to using Adobe Reader include the the Opus plugin from Ardfry Imaging (which also adds AI thumbnails and EPS viewing/thumbnails) or Quick View Plus. Installing either of those should allow you to view AI files without further configuration. (At least on Vista and above.)