Even if you are using an admin account in Vista, this may not be enough for application's which require that you install as an administrator.

Right clicking on the installer (e.g. an msi) file does not give that option.

The solution may be obvious to some, but it wasn't to me!

Open up the command window as an administrator (in other words, right click on the command prompt icon and choose Run as Administrator). You'll get the UAC prompt (Windows needs your permission to continue doing the thing that you just asked it to do.) and continue. Then you can launch your installer from the command prompt.