Glad that worked for you. I didn't think that would as I've tried it in the past with Blackberry Desktop software without success.
So to confirm, you've removed the IE8 instance installed by the exe, and it's now installed through Windows Update but you're still getting that first start thing?
There are a few things that you could try but I am not sure how effective any of them will be.
First, try clearing all of your Internet temporary data and cookies, then go through the setup window that appears.
If that fails - repeat the above in Safe Mode with Networking.
Have you tried changing your home page?
Have you tried running IE8 as Administrator, completing the first run screens then retrying running IE8 normally?
Is there anything installed that's protecting registry changes? Obviously UAC in Vista does this - but some Security suites do this as well and may be preventing the changes being saved properly.