MyDMX even says on the web site that it is NOT 64-bit Vista compatible.
While things have changed somewhat, that may still not entirely ring true.
OF course, the typical "make sure you're using a DMX cable and a terminator" thing.
Turn on computer with dongle disconnected. After boot-up, plug in dongle, wait for happy tones, then start MyDMX. It should be fine now. At least this works for me in XP Home.
Check your addressing of the fixture. Trivial, but essential. I've seen this error before.
Check to make sure you're using the right channels in MyDMX, regardless if you have a profile assigned or not. Profiles just make the fixture and MyDMX more human-friendly. I've been guilty of grabbing the wrong channel fader in MyDMX, so double check.
The dongle otherwise appears to be working properly. Just check your start-up sequence.