Sometimes it is useful to run an application as an administrator. In Windows XP this is accessible on an executable by right-clicking and selecting the “run as…” option. However, for other file types such as .msi no such option is available.
The best way I found for this was to open command prompt as an administrator. I created a .cmd file with the following:
   runas.exe /user: /savecreds cmd.exe
You can then navigate to the directory of the file you want and open it. The advantage of using this method is that you can also access other services such as those in the control panel:

   Control panel tool             Command
Accessibility Options control access.cpl
Add New Hardware control sysdm.cpl add new hardware
Add/Remove Programs control appwiz.cpl
Date/Time Properties control timedate.cpl
Display Properties control desk.cpl
FindFast control findfast.cpl
Fonts Folder control fonts
Internet Properties control inetcpl.cpl
Joystick Properties control joy.cpl
Keyboard Properties control main.cpl keyboard
Microsoft Exchange control mlcfg32.cpl
(or Windows Messaging)
Microsoft Mail Post Office control wgpocpl.cpl
Modem Properties control modem.cpl
Mouse Properties control main.cpl
Multimedia Properties control mmsys.cpl
Network Properties control netcpl.cpl
NOTE: In Windows NT 4.0, Network
properties is Ncpa.cpl, not Netcpl.cpl
Password Properties control password.cpl
PC Card control main.cpl pc card (PCMCIA)
Power Management (Windows 95) control main.cpl power
Power Management (Windows 98) control powercfg.cpl
Printers Folder control printers
Regional Settings control intl.cpl
Scanners and Cameras control sticpl.cpl
Sound Properties control mmsys.cpl sounds
System Properties control sysdm.cpl