It looks like Internet Explorer on Vista relates the chat window that pops up as being a part of the page that launched it. So when the page changes or is closed the chat popup is as well. I assume this is a new security feature added in the Vista version of Internet Explorer(ie).

A simple work-around would be to to open the chat login page on a new tab(a new feature in ie7) by holding down the control key and pressing the link to the chat login page; this will keep the chat open and the login page open on a tab in your current browser. You can then switch internet explorer back to the first tab and browse the forums as desired and the chat will remain open .