ClashmanTheThird: It's pretty annoying.
It's also not safe.
This works for me: Install the game to a folder you can write to (one that doesn't pop up a request for permission).
This old game has never been updated properly to work with recent Windows.
You can also try this if it is an unmodded game: Modify the first line of fsgame.ltx in the install folder to point to a folder you can write to, like c:\|users\public\documents\STALKER-SHOC\ or something like that for the game you are playing. Copy your files from the folder that was originally shown on that line to the new folder. You might have to create the folder first. You might need admin permission to edit that fsgame.ltx file, but that should be the only time.
This won't work for some mods, though. I've never had any trouble with the first suggestion.