well if you have the admin account, then it may not be that, the non-admin accounts tend to have draconian checking by UAC. UAC is a handy security tool to have enabled, although some find it can get in the way, personally I leave mine on but don't have it annoying me in the way you mentioned. You could experiment to see if the issue is resolved by temporarily lowering the UAC settings, if the changes dont make a difference you can set back to the default and hunt down a different idea.
To alter UAC you simply run MSCONFIG from the start icon, goto the tools tab it brings up, and launch the UAC option