Install it to the root..
So it looks like C:\\GAME_GOES_HERE or C:\\Anything_that_isn't_program_files
Vista likes to do annoying shit if you don't...like hide parts of the program in AppData. Dunno if it will do that to SoD since I have not installed it under Vista but it has caused issues for me with some other programs.
As to what Mumble is...it's voice communication software, like Ventrilo or Teamspeak. You may want to be sure the Start Mumble box is unchecked in the SoD patcher and maybe that will fix your issue right up.