This is the way it will now work under Vista, as you can now run it with UAC on. This reason is the program must be run as an Adminitrator for Vista to allow you to use External hard drives, build your songs database and create the songbook.
If you wish to get rid of these annoying dialogs, then you must do the following
http://www.mtu.com/kb/index.php?action=kb&article=87