Before Vista, you could right-click a shortcut, executable, or whatnot and choose Run As ... to run that item as another user. 99 44/100 of the time you wanted to run it as your administrative account, if you were one of the 3 people on the planet who had an administrative account. Occasionally, you were borrowing someone's computer and wanted to run something that relied on Windows integrated security, for which you wanted to be yourself. And more relevantly for me, you might want to demonstrate how Windows integrated security worked, say by having 3 or 4 browsers open that were all authenticated (to Windows itself) as different users.
So if any of that rings a bell for you, you want ShellRunAs. It's free, it's from Microsoft, and it works on Vista.