As to the server, can't you just set folder permissions to keep unwanted eyes out?
As to getting the management tools installed: you left out one crucial piece of information: are you running Vista 64-bit or 32-bit? You MUST use the version of the tools that corresponds with your OS.
I've never used the 32-bit version. Microsoft was pretty adament about it only being for testing purposes... theoretically, the 32-bit management tool should be able to talk to 64-bit Exchange, but I've never tried it.
Here's a link to the 32-bit version: Download details: Exchange Server 2007 - Management Tools (32-Bit)