Problem:

Unable to install COM+ application proxy on Vista machine.

In the event log, 

Error 1928: error registering COM+ application.

Resolution:

Removed rundll32.exe from DEP (Data Execution Prevention) to resolve the problem.
Rundll32.exe is used while running the installation of COM+ application proxy.

For more information about Data Execution Prevention feature : http://msdn.microsoft.com/en-us/library/aa366553.aspx