I have found this feature to be a bit annoying, the “Cancel or Allow” for nearly every single thing you do on a Vista system. On a Mac you get this type of dialog box when you are installing a new program, and must enter the root password.
On Vista, it literally gray’s out your entire screen until you press cancel or allow.
A necessary evil on Vista? Sure, I don’t want my system getting filled with spyware or viruses.