I'm running GPO-KP2 and Vista without any problems. Are you using GPO KP1 or have you downloaded the Kontakt Player 2 update?
I know that shouldn't happen with Kontakt2, and I doubt it should happen with the original version either. Try uninstalling and reinstalling the program. Also, enable the "Run as Adminstrator" option and Compatibility mode for XP SP2 on the program's properties section and see if that makes a difference.