I am going to assume something like Win2000 or WinXP.
Chances are good that you are logged in as user and are trying to do something you need to be logged in as Administrator to do. If it is your machine, you should have the Admin password and would have to log out, then log in as Admin. If it is not your machine, you would have to wait for the Administrator to do whatever it is you are trying to do.
There may also be a "Run as" option for some programs. This would still require the Admin password.