Yeah - Not a total convert yet on Vista, but just bought a new laptop which had Vista (all new systems do now), and I did a little playing around and tested how to make the computer beep and flash when the CAPS LOCK is hit. Do the following:
Click on the START button (in Vista it is a circle with the Windows logo in it), then Control Panel
In Control Panel, double click on "Ease of Access Center"
Click on "Make the keyboard easier to use"
Under "Make it easier to type" make sure the "Turn on toggle keys" box is checked. Then click "Apply" at the bottom of the window.
Click the back button (just as if you were in a browser)
Click on "Use text or visual alternatives for sounds". Make sure "Turn on visual notifications for sounds" is checked. Under "Choose visual warning" select "Flash active window". Click "Apply" at the bottom of the window and then close out the window.
Open up your word processing program (Microsoft Word) and start typing. Hit the CAPS LOCK key and see what happens!
Hope this helps!