If you finished you Vista Sidebar Gadget, you probably would like to provide it to download it from a website. If you just put it as a <a> tag link in your website, you'll be facing a problem. Users won't be able to download and install it right from your site, but rather have to download it and install it from harddisk.

What you have to do is the following:

Change the mime type of your <a> tag to type="application/x-windows-gadget" and add that mime type to your webserver. Within IIS you can use the module Mime Types to add a new mime type by clicking on Add... 

Have fun!