<p>From a desktop application developer point of view, is there any difference between developing for Windows XP and developing for Windows Vista?</p>

Do not
ever
assume your user has access to certain key areas of the disc (i.e. program files, windows directory etc). Instead the default user account will only be able to write to a small section of their application data. Also, they won't be able to write to global areas of the registry - only the current user section.
You can of course elevate their privileges, but that in itself is a task.
Generally programming for Vista is the same as XP, it's just the new account restrictions you have to be wary of.
Have a look at this page with regards to making your application "UAC aware"
http://www.codeproject.com/KB/vista-security/MakingAppsUACAware.aspx