With Windows Vista, Microsoft changed the way needed DLLs are searched when an executable is loaded.

This affects the launcher for SQL Workbench/J launcher due to the (new?) Microsoft C runtime distribution model

If you want to run SQL Workbench/J under Windows Vista, please copy the file msvcr71.dll into the directory where SQLWorkbench.exe is located.

This file can be found under %SystemRoot%\System32\msvcr71.dll (usually this is c:\Windows\System32\msvcr71.dll).

Thanks to Jon for this tip!