We know this issue. we also know that both SQLyog 5.32 and 6.x are affected, but 5.19 is not! It was probably introduced with 5.2 (the first OpenSource release)
I experienced myself. But not only SQLyog does this. I have experienced this with a handful of programs – including 'windows explorer' itself!
I think this a undocumented issue with Vista. We are trying to figure it out. Maybe it is related to a specific hardware/configuration. I am running a 32 bit Vista on 64bit dual core processor (AMD Turion64x2). Can you describe your configuration?
For me it will usually help to reboot the OS. I would estimate that around 5% of times I reboot, I will have to reboot once more due to this!
I saved a copy of of the Vista popup message/dialogue. Se attached!