This is basically vista's new defence technique, basically if an intruder or virus tries to do something that will affect your pc, vista will ask you to confirm before allowing it to proceed. Annoying yes, handy; not sure yet..
Anyway, you can remove through security options in control panel, I think.. just look up UAC in help. However, you will get a different annoying message in the task bar telling you that it's turned off.. there might be a way of getting rid of that as well, but I don't know how.. I'm used to it all now.. everyone will be eventually.