Like many large computer makers, Sony doesn't include Windows media with its systems. Instead, you get a recovery partition that reloads the installed OS and (unfortunately) all its associated crapware. The only Sony-sanctioned option is to pay $28.95 to purchase a replacement media set. However, you can do as I did and simply use a retail installation disk with the Sony product key.
For the full story, see Fixing Windows Vista, one machine at a time