Even if you are logged in with admin privileges, in Vista that doesn't mean that the program you're executing runs with admin privileges. This creates many problems if the program want to write to a file that's in a restricted area, such as the "Program Files" folder.
In my short experience...
Check that you're logged in with admin privileges AND that the executable is run with admin privileges (should be in the Properties context menu of the executable or the shortcut IIRC).