In older version of Windows (XP certainly) the main person who installed Windows, or used it, was a FULL ADMINISTRATOR.
This gave them the power to do ANYTHING on the computer.
The problem Microsoft found was that because every user was a full administrator it gave viruses and other dodgy programs the ability to install themselves without your knowledge.
So with Vista they have changed this.
The person who installed Vista, or the main user, is now a LIMITED ADMINISTRATOR.
There is still a FULL ADMINISTRATOR, but it is hidden from most users.
Because most prople using Vista are LIMITED ADMINISTRATORS then Vista has to keep asking you if you want to do certain things.
It also limits what you can do on your computer, so maybe deleting a folder from My Documents is one of those things that is limited.
There are a number of web sites that help get you round this. Search for "Vista Administrator"
This site below may help (I have not followed these instructions so you do so at your own risk)
http://www.computerperformance.co.uk/vista/vis ta_administrator_activate.htm