Vista introduced a whole new level of nanny prompts to the Microsoft Windows experience. It's bad enough that when you delete a file it asks you if you're sure you want to delete it. Vista's User Account Control (UAC) has decided that users should be asked if they're sure about lots of things. If you consider yourself to be moderately computer savvy, and you want to turn off these annoying little windows, you can disable UAC.
Get into the Control Panel and into User Accounts. Then look at the last choice for making changes to your account. It says "Turn User Account Control on or off." This is the good stuff. Click on this choice and uncheck the box next to "Use User Account Control (UAC) to help protect your computer." It's only protecting you from yourself. When you click OK you'll have to restart your computer, but you won't have to see those irritating "Windows needs your permission to continue" prompts any longer.
If you're not sure how to get into the Control Panel and into User Accounts maybe you do need to be protected from yourself. Wait until you figure out those steps before you start working without a net.