PostalCOW,
In answer to your first question, there are still some issues with running DarkGDL.NET applications under Vista. This is still going to be sorted out soon, so sorry for the problems.
Installation of the toolkit can be simplified in two ways. If you have Visual Studio Professional, you should create a Setup Project and use your EXE to obtain prerequisite dependencies. You will need to use the DirectX Redist and the DGDKSetup.exe as part of the Custom Actions editor, but the setup project can call these two exes for you. Just make sure that DX is installed first before calling DGDKSetup. Also, because this is using the BootStrapper system, part of VS Pro, it will automatically install the .NET 2.0 framework for you as well.
If you're using the Express version, then I'm afraid your only alternative is to use something like InstallShield or Inno Setup. Either way, you will still need to ensure that DX, .NET 2.0 and the DGDKSetup installer are part of your application's setup program.
The reason why that DOS window is appearing, is because your project is of type Console. Recreate your project as a Windows Forms Application, and delete the default Form from your project solution, and create a Main.VB module. Implement a Sub Main() entry point and adjust your project properties to make this the calling function when your app starts. This will then stop that console window from appearing.
Paul.
[EDIT] typos