Since I've installed Vista on both of my laptop & desktop I just couldn't figure out what happened to the screen saver, It seems that it just refused to start up although I was able to preview.
This issue was driving me insane as I couldn't spot what was causing the screen saver not to start, after deep investigation it turned out that the problem is due to a defected driver of the Microsoft Wireless Receiver which is part of both of my wireless mices (Microsoft Wireless Laser Mouse 6000 – Notebook & Desktop editions)
If you unplug the receiver the screen saver comes back to life !
It is funny that Microsoft QA haven't spotted this on their Vista QA hardware tests as it is Microsoft's hardware… they can't blame in this case a 3rd party to not support Vista.
Current solution : Buy a Logitech G7 Laser Mouse as Microsoft's support say it is a known defect but they have no plans to fix the issue.