Just install jdk6 build 66 on a fresh copy of Windows XP SP2 (inside VMWare Workstation). Run java.exe from a cmd window and a dialog box pops out crying about missing MSVCR71.DLL. On the other hand, running c:\Program Files\java\jdk1.6.0\bin\java is ok.
It seems there's already several bugs on this issue but all marked as delivered. Not sure if this is a new bug or if it's specific to VMWare virtual machines.