If you are using recording feature of Coded UI Test or Fast Forward feature of Microsoft Test Manager (MTM) and getting the following error -

The last action was not recorded because access to the application was denied

there could be two reasons for this -

1. The application under test (one that you are trying to record) has higher privileges then the Visual Studio or Microsoft Test Manager process.  In this case, this is deliberate (a.k.a. by design) to prevent any security issue.
2. You are running this on a VM with dynamic disk.  This is bug in the current release.