ok, it looks like you did everything ok, except I can't tell what's going on at the end of the "Neuxiz help" video.
I also run Vista. Here are my steps...
-Save nexuiz242.zip to my desktop (select
save instead of open when downloading).
-Right click on nexuiz242.zip and "extract here"
-That creates a Nexuiz directory on my desktop.
-I open my Nexuiz directory, right click on nexuiz.exe and create shortcut.
-I drag the shortcut to my desktop.
-I double click that shortcut and enjoy playing Neuxiz
