Another option is to simply disable User Account Control (UAC) from the user accounts control panel applet. This is a controversial solution since it turns off some of the new security features of Vista, but it does enable a number of apps that I've had for years to work under Vista without having to "Run as Administrator" and answer a pop-up every time I wish to run the application.
I've been running DX4Win successfully for months in this manner (I've been a Vista beta tester for the last year and a half). Regards, Rich Eckman KO4MR