Hack_80,

The easiest way is to right click the program, select 'run as' click 'run', click 'the following user' radial button then enter the username and password for administrator.  Off you go.

Also, you can make a user a 'power user' and meet most applications requirements without making a user a local admin, but beware that a power user can make themselves an admin. 

Never give a user more rights than they need to get their job done; unless you absolutely (read:someone that can end your employment) have to.

Why do you want to do that? In my experience users will always try to take advantage of the situation.  Yes, you could create a group policy that allows users to d/l and install certain apps on their own; but that is a lot of work and once you start you will never stop. 

If manually installing it (remotely with vnc) is not an option, take the .exe file and create an msi (good explanation here http://www.mcse.ms/message948078.html), then push it to the users when they log in using a kixscript www.kixtart.org/.  After authenticating to the network, the user logs in, the package will be installed and least privilege is still maintained. 

Once you have the initial leg work done, you will have a managable system for deploying anything; without giving up an ounce of control to the users.

What this will do? Do you think this is the right solution?

This will allow you to make an admin user. This will solve the solution because now you have an admin account.