I'm used to running my own DJB dnscache on all unix-like systems I have, i.e. Linux and Mac OSX. Now that I got me a Vista, I wonder what can I run on it to the same effect?
Built-in DNS servers are considered server functionality in the Windows world. On Vista, you'll need to get a third-party DNS server. After that, it's as simple as setting your DNS server entry to 127.0.0.1 in your TCP/IP settings.
A quick Google search found SimpleDNS, but I've never used it and can't attest to how well it works.
Windows already has a service (DNS Client) that caches dns requests.
The defacto most popular BIND software runs on Windows, as do many other DNS servers.
There's also experimental versions of Unbound for Windows available from here. Unix versions of Unbound have been available since last year and are already in production use in many ISPs.
The author of Unbound is looking for beta testers for these experimental versions. If you try Unbound and find any problems please report them at http://www.nlnetlabs.nl/bugs/