Remember to do one of two things if using Server 2008 for the first time:
1) Turn UAC off in Control Panel | User Accounts | Turn User Account Control on or off
2) Make sure you right-click every application’s icon every time! and choose “Run as Administrator”, every time unless you want to really give yourself a headache
Same goes for Vista of course but in Server 2008, you do not want to ignore UAC and view it just as a pest. You want to use properly or get rid of it entirely.