Windows Vista heuristically detects installation programs and requests administrator credentials or approval from the administrator user in order to run with access privileges.
So applications called "setup.exe" and "install.exe" will prompt for administrator credentials (if running as standard user) or approval (if running as administrator). If you do not desire this behaviour then include a manifest with your application. See Catherine Heller's blog for information on how to embed a manifest.
For more information about UAC and installer detection see: