That you are running Windows. Read:
http://en.wikipedia.org/wiki/Sudo
It basically allows you to execute an application with elevated privileges. If you want to achieve a similar effect under Windows, open an administrative prompt and execute your command from there. Under Vista, this is easily done by opening the shortcut while holding Ctrl+Shift at the same time.
That being said, it might very well be possible that your account already has sufficient privileges, depending on how your OS is setup, and the Windows version used.