Often - and this is still true for many programs, although Windows Vista/7 is around for quite a couple of years now - you'll have to start the program "As Administrator" just once.
Have you tried this? After starting as Admin for one time and then quitting, the program should have done all "administrative" things it needs to do on the first start and which need Administrative privileges (for example, registering file types, setting default Program actions in Windows, icons and so on). After this, you can run is at your user (which is the default).
Actually all this should be done through the elevatorps.dll and the UAC prompt, but on your system this doesn't work apparently.
One more reason could be some old 3rd-party plugin writing its configuration to its program directory (i.e. Winamp's "Plugins" directory). Try to disable or uninstall all 3rd-party plugins.
Hope I could help a little bit.