When using Windows Vista / 7, Windows' User Account Control can be annoying. When is R going to be Windows 7 ready, asking for elevated priviliges only when needed? I guess the problem lies in the structure of packages.
Running Rgui.exe "as Administrator" by right-clicking is one option to get around these problems. However, when installing Tinn-R and linking it to R, I haven't found a solution without turning off UAC completely during the installation - which is again annoying, because switching UAC needs to reboot Windows.