In Windows XP/2003 you had a feature to run a program as another user called "Run As". In Windows Vista and Windows 7 when your right click there is only "Run As Administrator" which runs automatically as an administrator account on the local computer or domain which is available.
For Windows 7 this menu still exists it's just hidden. To be able to run a program as a different user press CTRL + SHIFT then right click on the application.
For Windows Vista there is no way with the core windows build apart from using command prompt and using the runas.exe command line tool.
However Sysinternals has come to the rescue here with a small code ShellRunas applet. Grab it from here: