The MacBook Air has limitations and obstacles that make it a harder to install Windows but it's not impossible. I'm sure there are those who would say, don't bother unless it's absolutely a necessity for you.
Here's a YouTube tutorial but it doesn't specifically cover the MBA, but it'll be insightful anyhow.
I found the following info:
To run Vista on your MacBook Air, you have two options:
AFAIK, Boot Camp requires a SuperDrive and there's no way to work around it.
If you have Fusion or Parallels, you should be able to install Vista if you give your Vista DVD to someone who can turn it into an .ISO file for you. Copy that .ISO file onto your Air and point Fusion/Parallels to it, and it should be able install Vista as if the .ISO was the original DVD.