Now my Vista machine can see all shared folders in my Mac OS X (Leopard) machine but it seems like I can only log in as a generic user without proper rights to modify or delete files as I can in OS X machine locally. In OS X, when I connect to other machines, there is "connect as ..." option which allows me to browse all files as a local user with correct username and password provided. Is there an equivalent feature in Windows Vista?
You've got a couple of options. Your Vista machine will, by default, try to connect with the same credentials as your local account.
If you create an account with the same username and password on the Mac, you'll have read and write access as that user. You can also map a share on the Mac as a network drive (from My Computer). Enter the share as
\\<ip address of mac>\<share name> and use the "Connect using a different username" option to enter your Mac username and password.