Ever since at least Windows 3.1, holding down the Alt key and typing numeric-keypad 0 followed by the decimal value of the current 256-character character set has produced the corresponding character in that character set. This has never had anything to do with Unicode and is unchanged in Windows Vista. If you type a number greater in value than 255, the character value has always wrapped. Vista works in exactly the same fashion.
In Microsoft Word and in WordPad a fix was added to enable Unicode characters if you typed a decimal number greater than 255, with or without a leading 0, on the numeric keypad while holding down the Alt key. Then the number typed would cause the corresponding Unicode character to appear. But this only works in Word or WordPad. You must be misremembering if you believe this worked generally.
If you want this to work in the entire Windows system rather than just in Microsoft Word and WordPad, I suggest you download and install the free Quick Unicode Input Tool from http://www.cardbox.com/quick.htm .
Search on EnableHexNumpad in Google to see a method which Microsoft set up to allow Unicode entry, but does not enable, probably because the keystrokes required often cause a menu to activate.