If the iexplore process that ANTS starts gets shut down immediately for any reason then you'll see this behaviour. There are a few things that can cause this:
Something I've seen is that sometimes IE starts running in the background, and passes any requests to its background instance. ANTS can't attach to this (in fact, it looks like the IE just shut down immediately), so you see this behaviour. The fix is to use task manager to ensure that no instances of iexplore are running before starting profiling.
If IE goes into protected mode it restarts itself and disables the profiler. ANTS runs IE as an administrator on Vista to disable this behaviour, but you can also disable it explicitly in IE's preferences. You can see if this is happening by looking at the status bar.
One other thing that might be worth trying is that if your application supports out-of-browser mode you can ask the profiler to specifically target the XAP file instead of a web page.
Red Gate Software Ltd.