As you might know, you should use a limited user account when using windows xp. This to protect your computer and data from unauthorized program activity. Otherwise, read Windows xp: How to use your computer on daily basis with user accounts

Sometimes a software needs to be executed as a "administrator". This is how you run a program as another user:

  1. Right click on shortcut
  2. Click "Properties"
  3. Go to tab "Shortcut"
  4. Click "Advanced"
  5. Click "Run with different credentials"

  6. Press OK!

The next time you click the shortcut, a new window opens. Select the user you want to use and type the password.