Windows Vista has a new feature called User Account Control (UAC) that can get bothersome if you are not used to it.
You can disable UAC by going to Security Center in the control panel and unselect the "Use User Account Control (UAC) to help protect your computer".
If you don't have the option to unselect then you will need to open msconfig disable UAC there.
To do this navigate to Start->Run and type MSCONFIG. Click on the Tools tab. Scroll down till you find "Disable UAP". You may need to restart your computer.
More info can be found at http://www.petri.co.il/disable_uac_in_windows_vista.htm