On Windows Vista and earlier, it is very important to run Trainz as an administrator if you have it installed in the Program Files folder, as otherwise it will have to write files (custom content, etc.) to the "VirtualStore" folder in the folder for the user's account on the computer, instead of writing directly to the installation folder. Perhaps this is not as necessary with TS2010 and other more recent versions of Trainz that use an asset database with Content Manager, but it can be a source of heartburn for users of earlier Trainz versions, such as TRS2004 and earlier, because TRS2004 and earleir do not really have an "asset database"; you have to interact with the asset files directly, which can be even mor so a pain for content creators. Running the appropriate programs as an administrator (including Trainz) can make life easier. It is also possible to remove the restrictions on the Auran folder in the Program Files folder, making life even easier.
Running a program as an administrator when it is set up to do so means that a dialog will pop up when you attempt to start the program, asking for your confirmation. On Windows Vista, administrator accounts only have to click a "Continue" button to proceed, while "standard" accounts will have to have the password for an administrator account entered before the can proceed.
On Windows XP, there is no such restriction on the Program Files folder nor any such function to run a program as an administrator. On Windows XP, the only really functional user account is the "administrator" account, for the "limited" account is solimited, that you can not even check the date on the taskbar, from what I have read.
Regards.