I tried shutting off UAC and it didn't fix the problem.
I *could* try installing the game in a different directory but I'm not sure how that would affect the console window's behavior.
One other suggestion, when you installed the game . . . did you right-click the setup.exe and select "Run as an Administrator"?
If you just double-clicked the setup.exe there is a good chance that the game did not install fully since Vista / Win 7 tend to block some writes if the program is installed without Admin.
If you did not run the setup.exe as an Admin, I would backup my saves, uninstall the game, right-click the setup.exe, select "Run as Administrator". Might even turn UAC off before doing that or install in a directory outside of Program Files. . . =)