From what you say, it looks like UAC is involved here.
Are you using a standard user account or an administrative one?
If you're using a standard one, your PC may have UAC configured to deny administrative rights to simple users no-matter-what (you may want to read THIS
for further information).
If it asks you to authenticate, on the other hand, you'll be asked to provide details (username - password) for an administrative account to proceed.
If it just asks you to confirm to proceed, you'll probably be already running it as administrator, so you'd just hit "Yes" or "Continue" to get past the UAC screen.
By the way, shouldn't this be moved to "software" instead?