msarge: I'd love to be able to easily install/run games I download from GOG without administrative rights.
Petrell: Isn't that more of a Vista problem than GOG games? Can't the feature be disabled (I know at least thrice damned UAC can be)?
This can happen in both XP and Vista if I'm not mistaken, but it happens in XP only when you are logged in as a normal user (not an administrator). Most people never notice this problem because almost everyone run XP with administrator rights. In Vista programs run at a normal user level even when you're logged in as an administrator, so you'll get the UAC prompts no matter what type of user you are.
The problem arises because Windows only allows write access to your local user directory if you're a normal user. If you have your games installed in C:\Program Files\ or anywhere outside your user directory, you'll get a UAC prompt because the program needs to be elevated to administrator status in order to write to its own config files. Modern programs and games solve this by storing config files in the user directory instead, only the program executables are kept in C:\Program Files\. Our good old games are designed for DOS and Windows 9x where the user-administrator distinction did not exist, so they store their files wherever they feel like.
The solution is simple: Install your good old games in your local user directory! Create a new directory, for example like this:
C:\Documents and Settings\<username>\Local Settings\Application Data\gog.com\ (if XP)
C:\Users\<username>\AppData\Local\gog.com\ (if Vista/Windows 7)
Install all your games there and your troubles should be over. As it happens, Google Chrome does the same thing. If you have a lot of modern games installed you're likely to find that they store their config files and savegames in the AppData directory as well.