It's the big ache with Vista. I have got used to it in a way and like many just click though quite rapidly.
I take more care if I know I am in the middle of something else or I am installing or altering something.
Sure Vista is more secure but some of the extra security comes by putting the onus squarely on our shoulders through having to agree much more before it will do things.
I wish it had a capacity to "learn" but it seems it is set up to ask each time even though it may be a familiar program in case that program has become infected.