I'm also using a 5200+ on a Vista Home Premium upgrade from XP media center, and it's working for me. What are you using to detect whether it's working? I use either CPU-Z or AMD's Power Monitor. I like AMD's a little better because it loads quicker and has a bar that shows what power savings level I'm at. But with either, @ idle you should be reading 1000MHz @ 1.1V under either Balanced or Power Saver plans.
One thing that can affect it is the Minimum Processor State under "Processor Power Management" in the advanded settings in Power Options. (Control Panel -> Power Options -> Change Plan Settings -> Change Advanced Power Settings -> Processor Power Management -> Minimum Power State -> Setting. [default setting 5%]) Here's how this setting interacts with Cool 'n Quiet on a 5200+:
From 0-68%, the processor idles at 1000mhz/1.10v
69-75%, it idles at 1800mhz/1.15v
76-83%, 2000mhz/1.2v
84-91%, 2200mhz/1.25v
92-99%, 2400mhz/1.30v
100%, 2600mhz/1.35v <--- so no Cool 'n Quiet. (which is why you should check this, just in case it somehow got changed from the default)
(BTW, the default MAXIMUM processor state under the "Power Saver" plan is 50% -- which is no good. With Cool 'n Quiet enabled, the processor NEVER leaves 1000mhz!!)
No, Vista has native support.