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.