This is perfectly normal, and you should always give Windows permission.

One of the new security features in Windows Vista is the User Account Control. User Account Control (UAC) is a feature in Windows that can help prevent unauthorized changes to your computer. UAC does this by asking you for permission or an administratorpassword before performing actions that could potentially affect your computer’s operation or that change settings that affect other users.

You can read more about UAC here:
http://windowshelp.microsoft.com/Windows/en-US/
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