I got the follovwing matter under windows Vista with Wireshark 1.4.4 : "There are no interfaces on which a capture can be done"
The computer has WinPcap 4.1.2 installed and i have admin rights and i have an ethernet device (i'm currently using it to post this message !)
Please see http://wiki.wireshark.org/CaptureSetup/CapturePrivileges.
I suspect that you are running Wireshark without elevated privileges (which is the safest way). (This is the default unless you use "run as administrator" to start Wireshark (not recommended)).
I also suspect that the NPF (Winpcap) driver is not running.
As noted in the above link the NPF driver needs to be started/running before trying to use Wireshark without elevated privileges.