I assume this in Windows Vista (it is the version that had a big problem with Run As Administrator). Usually programs that need to be run as administrators will run that way. As I remember it, you can also right click on the icon of the program and select Run As Administrator.
The only time these do not work is if your user account in Windows is not recognized as an Administator. In that case you would need to log out of your account and log in an account that is recognized as an Administrator. Most home computers have all of their accounts set up as Administrators. Big networks will limit their users from being Administrators so that their users do not mess the computers up.