Hi mikios1,
What notsograymatter is mentioning above is a security feature, so that malicious software cannot run under your user credentials when you are logged in.
So while you can run basic administrative tasks as an administrator, windows just wants check with you before running executables.
If you have a program that you always want to run with administrator privileges, you can right click on it and make the changes in the compatibility tab and/or in the advanced area of the shortcut tab.
I hope this helps explain it.
-Tim