You just missed it. It ran June 19-27, 2006.
In its eighth year, CineVegas began in 1999, when a group of movie fans, filmmakers, and industry movers and shakers conceived of the idea to host "The Best of the Fests," screening independent films that won awards at other film festivals around the world. It began in a Bally's banquet room, then moved next door to Paris, and finally settled at the Brenden Theater at the Palms, where it remains today, Las Vegas's premier film festival. This year, CineVegas initiated two monetary awards: $10,000 to the best feature film and $1,000 for the best short.
To see the movies, you can purchase seven different passes, which run from $50 to $500 and get you into a combination of screenings and parties. You can also pay for them one at a time for $10 apiece. This year the parties were spread around: Rain at the Palms, Shark Reef at Mandalay Bay, Palazzo Suites at the Rio (with Sylvester Stallone), Gold Coast Bowling Center, Tao at the Venetian (Dennis Hopper’s birthday party), poolside at the Hard Rock (awards party) and others.
The 2007 dates haven't been announced yet, but they've always been sometime in June (June 10-18 last year; June 11-19 in 2004, June 13-21 in 2003, etc.) You can keep abreast of next year's action by keeping an eye on www.cinevegas.com or by giving it a month or two and calling 888-8vegas8 (888/883-4228).
Better luck with your timing next year.