I assume you are using Vista. In Vista, there is something called UAC to help protect your system from changes that you did not want to happen. You would typically need to answer the prompt from UAC to allow the change, which may be accessing and changing settings or installing or removing a program.
Some programs will not run at all unless you right click their shortcut and select Run as Administrator from the menu that pops up. In any event, this forum is for Windows Live OneCare, so you are off topic. You can seek more help in the Windows newsgroups -
http://www.microsoft.com/communities/newsgroups/default.mspx
-steve