Is any version of PowerShell included in "vanilla" installation of Windows Vista? Or must it be downloaded/installed separately?
No, it's not.
PowerShell 1.0 is an optional component for Windows 2008 and PowerShell 2.0 is part of Windows 2008 R2 and Windows 7.
For Vista, you need to download it separately, although I think 2.0 is offered through Windows Update as an optional Download.