The ThinApp 4.0.4 Release Notes says:
"This release does not support the Windows 7 operating system. If you try ThinApp with Windows 7, VMware invites you to share your feedback in the community forum."
Not sure when ThinApp will officially support Windows 7 since the OS has only reached general retail availability since late October 2009. I'm hoping that it will make it into the next major release of ThinApp (4.5) as implied by this recent promotion:
VMware ThinApp New Year Promotion FAQs
"Q. What benefits can a customer expect to receive with version 4.5?
A. Along with award winning features such as agentless architecture and application isolation, ThinApp 4.5 delivers Windows 7 migration support. This will enable customers to quickly package existing Windows XP or older Windows application for deployment on Windows 7."