There is a FREE tool called "CutePDF Writer" which can print (convert) anything into a PDF file. It installs itself as a printer, so you print any document and select CutePDF as your printer. It will ask you for a PDF file name and location. It works very well my Vista system as well as XP machines.
I usually save some web pages (like purchase confirmation, review for later, etc.,) in XPS format. In Vista, you can print in XPS format which saved in a file (searchable via Desktop Search). But some people likes PDF format. Click on the link in above paragraph to install CutePDF writer.