Have you installed the java 1.6 runtime from the java.sun.com web? Maybe vista comes with another preinstalled version. I have made other applications with the same GUI builder and they look exactly the same on XP and Vista. I will see if I can find a Vista to test it myself, but it is very strange...
For the firmware update:
The first time you run the app, did you get a message box saying that a DLL library has been installed to a certain path for enabling the firmware update? If not, maybe the app found problemas with permissions writing the MidiPort.dll file to the java.library.path. If you search for the file MidiPort.dll and you don't find it, then that is the reason you get the Error. Here I attach a zip file containing that DLL file. You can copy it to C:\Windows\system32 and then the app should recognize it as well. WHen you have the MidiPort.dll accessible for the app, then open the app with megadrum connected before. Select Firmware->Update firmware and when an instruction box appears, disconnected megadrum and connect again but with Left key pressed so you enter the bootloader. Follow instructions on the message box.
A quick note about the input names. Input names are written with the firmware, they can not be passed through sysex. So the only way to change them is doing a firmware update.