That particular page (linked above) is out of date. There have been 16 releases between 2003 and 2008, and they all have been tested on multiple Windows operating systems including Windows 2000, Windows XP, and (lately) Windows Vista. I do not use Vista, but beta testers for TMG Utility have tested it.
I do not know if it has been tested on 64bit operating systems; I have not done so. I believe it would work on a 64bit OS but I can't say for certain.
TMG Utility will not work on 16bit versions of Windows such as Windows 95, Windows 98, Windows ME, etc.