When running the program, you must run the program as administrator.  This is due to a new security feature of Vista, Win 7, and 2008 server which prevents the currently logged-in user from writing to certain locations and restarting services.  To run as administrator, Right click on the program shortcut and click "Run as Administrator", this will allow the program to change the items it needs to.
For more info see this article
http://www.sevenforums.com/tutorials/11841-run-administrator.html