While Windows Vista contains many new features, a number of capabilities and certain programs that were a part of Windows XP are no longer present or changed, resulting in the removal of certain functionality. The following is a list of features which were present in Windows XP but which have been removed in Windows Vista.

Windows Shell

• Active Desktop functionality has been removed. As a result, animated GIF files can no longer be set as the desktop background. No other dynamic web content such as HTML or HTA files can run on the desktop, although Windows DreamScene (only released for the Windows Vista Ultimate) allows using videos as the background.
• The File Types tab has been removed from Folder Options. This feature was available from Windows 95 up to Windows XP and Windows Server 2003. The File Types tab allowed users to change the file associations for various types of files. It allowed configuring which application would open when a user clicked on a certain type of file, or allowed manually defining a new file extension, defining/editing custom secondary actions, showing extensions only for specific file types, or customizing the file icon. While there is a more simplified option to change the file associations, called Default Programs in the Windows Vista Control Panel, this option only allows users to change the default action that occurs when they double click a file. It does not allow users to choose which application would load if the user were to right click on a file and then choose a secondary option such as Edit. The Open With dialog box in Windows Vista also uses the corresponding Default Programs API which limits only one registered application to be set as the default program. ^[1] It is also not possible to navigate/jump to a particular extension using the alphanumeric keys on a keyboard; scrolling is required.

Windows Explorer

• It is not possible to display the full path in the Title bar when Aero Glass is enabled. When Aero Glass is disabled, the full path can be displayed in the title bar. (Note that the full path can be shown in the address bar regardless of the status of Aero, by clicking to the right of the breadcrumbs or pressing Alt+D).
• The Toolbar button in Explorer to go up one folder from the current folder has been removed. This is now accomplished by selecting a folder in the breadcrumbs bar or by pressing together Alt + Up keys.

Internet Explorer

• The ability to customize the toolbar layout is removed. The position of the address bar and the 'command bar' cannot be readjusted.
• Internet Explorer is no longer integrated with Windows Explorer. This can also be seen in Internet Explorer 7 on Windows XP and Windows Server 2003.

User account rights and logon

• 16-bit applications launched with administrator-level privileges run in their own memory space; 16-bit inter-process communication therefore only works for non-elevated processes, as these can still be configured to run in the same memory space.
• The RunAs feature in the shell has been replaced with "Run as administrator", and no longer allows alternate credentials to be entered if the interactively logged on user is an Administrator-equivalent on the local machine (only the interactively logged on account can be used to elevate the process in this scenario). However if the interactive user is not a local Administrator, then any credentials can be used to start the process. The RunAs commandline feature does not allow a local administrator-equivalent command shell to be started.

Win32 console

• The Windows Display Driver Model (WDDM) does not support all DOS video modes and therefore DOS-based and Win32 console programs cannot run in full screen mode. 
• In previous versions of Windows, it was possible to save different settings for each console window. Windows would ask the user whether to apply settings for the current window or the shortcut that started the window. Windows Vista however saves settings for all console windows without asking the user. 

Networking

• Windows Vista uses the strong host model for networking, instead of the weak host model used by all previous Windows versions. A weak host model can accept locally destined unicast packets from any network and transfer them to other interfaces on that network. In a multihomed network setup, a strong host model can considerably limit connectivity although it improves security against multihome-based network attacks.
• A single icon in the notification area (system tray) represents network connectivity through all network adapters, whether wired or wireless and for all different types of connections. It is not possible to set individual connection status icons on the taskbar or hide some or all network icons altogether.

Multimedia

In Windows XP, essentially, audio would be "broadcast" to all the audio endpoints at once. However, the new audio engine in Windows Vista changes this behaviour. Basically, audio can be sent only to the specific endpoint that the system has set by default, or which the user has configured via the Control Panel setting. Although this new audio behavior provides more flexibility and separate Digital Signal Processing (DSP) capabilities, it is limiting in cases where audio has to be streamed locally or across the network to multiple devices (analog to one and digital to another).

File system, drivers and memory

• Executable images created for the DOS/Windows environment, using any compiler and language which does not link to the Win32 API, are subject to failure or performance degradation when executed in Windows Vista, because Vista arbitrarily restricts the memory space for the executable to 32 MB (33,554,432 bytes). The limitation applies to any compiler, linker, or executable not conforming to the Win32 API. ^[36] The same is not true for previous versions of Windows.

Full article @ http://en.wikipedia.org/wiki/Features_removed_from_Windows_Vista

First thing which I miss the most in Vista is missing toolbar buttons in Explorer. I can't understand what were the developers thinking when they decided to remove the toolbar from Explorer? the standard buttons toolbar was essential and I miss it very much in Vista.

Second thing is of course missing File Types tab.

I wonder why the developers made Vista so much restricted from customization? No toolbar, no right-click on folder band, even we can't disable or move addressbar and searchbar.

Thanx for the update Soumya.. Im not on Vista.... But Toolbar is indeed comes very Handy...