And you are give the options to Continue or Cancel.

In some cases you are prompted for an administrator username and password.

This appears to make sure you are the one performing these actions instead of a rogue program such as virus or spyware on your computer. You can click Continue or you may need an administrator username and password to be entered.

It is part of the Windows Vista User Account Control (UAC) feature. You can find out more information about it here.

If you wish to disable this feature and prevent these messages from appearing, you must be an administrator and you can follow the steps to disable UAC in the Technipages article Enable/Disable User Account Control (UAC) in Windows Vista