Is the icon on your desktop just a shortcut to the actual application/installer? Try right-clicking the icon and choosing "Properties". You should see the option in there to run the application as the administrator.
The administrator permissions issue you are running into is only going to be in Vista. Vista changed how permissions work throughout the system. In XP, if you set yourself up with an administrator account, you always ran programs and moved about the system with administrator privileges. This is inherently unsafe. Microsoft tried to remedy this situation in Vista, requiring you, as the user, to acknowledge and grant administrator power to an application (and technically yourself). In other words, in Vista, you do not inherently operate with administrative previleges always.