The reason for this behaviour comes down to the changes that Microsoft introduced for Windows Vista. Put simply, even if you are running under an admin account, you by default do *not* have admin access to the software. This is the new change that Microsoft have introduced with the UAC security feature. Since this is a Microsoft addition, it applies to all software across the board.
This means that, if you want to change the startup options for the software, you have to exit it and then run it again *explicitly as administrator*. So you can right-click on the program in the Start menu and select 'Run as Administrator' from the menu. This will elevate your privileges and give you full access to the software.
Once you do this you can change the startup options as you please.
Microsoft introduced UAC to address security loopholes introduced by the fact that everyone uses administrator accounts on Windows regardless of if they need it or not. This limits the ability of viruses/trojans to infect your machine by asking you to authenticate any action on your computer that makes changes to sensitive areas e.g. Program Files or Windows folders. Under XP you could have programs install themselves quietly in the background without you knowing, but under Vista with UAC you will always get a prompt when this behaviour occurs (giving you a chance to stop this sort of thing occurring).
You should already be familiar with UAC if you have tried to install any application on your computer.