Vista puts out a new security preventing Session 0 from accessing hardware like the video card, and the user no longer logs into session 0. I know this means that I cannot
You can show one; it just doesn't show up.
There is a little notification in the taskbar about there being a GUI window and a way to switch to it.
Anyway, there actually is a TerminalServices API command to switch active session that you could call if you really needed it to show up.