I'm thinking I can just download the software directly from their site because I don't use there TTS software because I use and have the ATT NV 1.4 engine.
It depends. If you encode with PMM then you must install from the CD first, even if you then update with later software. Even if you don't use TTS, this also gives you permanent encoding rights rather than the time limited version from using the downloads alone. If not encoding or using TTS, then I guess it doesn't matter.
Media Manager or Music Manager often comes down to personal choice (I use Media Manager 3.92 under XP). Since I am in no hurry to move to Vista, I'm afraid that I can't comment on any of the pitfalls that may be waiting for you.