XP has this same shortcoming. After installing Vista, I was disappointed,
but not surprised, to see MS never did listen to all of the complaints about
this and fix it for the release of Vista.
I used XP Keep per user display settings in XP and have installed it in
Vista and it works there too.
Sometimes, it is little things like having your own display resolution that
mean a lot to home users. MS would rather spend time creating such wonders
as UAC, but I digress.
You can get XP Keep per user display settings here:
http://www.download.com/XP-Keep-per-User-Display-Settings/3000-2347_4-10260437.html