So, assuming that you are using an installer, right-clicking on it and choosing "run as administrator" wouldn't open an UAC prompt asking you for credentials? Just the plain error?
Again, if you're using an administrative account, you may authorize the installer by either clicking on "yes" in the popup that shows when you try to install it (if I don't remember wrong, the popup should have a blue ribbon for being Sony a recognized author), or providing your login password if asked (as an extra layer of security)..
If you are using a simple user account, right-clicking on the executable and selecting "run as administrator" would ask you for the username and the password of an admin (which you would probably have to ask for).
If it doesn't, chances are that the administrator denied you the chance to run elevated processes: so you'd better ask the administrator what to do. He may authorize you to install it, install it for you or maybe just tell you you are not going to have Vegas on that machine.