That's interesting. Something like that happened to me the other day. Using one of the XP machines, downloaded a small app from a reputable site the other day and tried to install it - nope, no admin privileges (on an account with admin privileges). Logged in as Administrator and it installed fine. Curious.
I use an external firewall for the network and have antivirus up the wazoo in that particular machine so I don't think that's it.
MS updates these days seem to have so many unexpected side effects that I'm a little wary - no wonder site admins test them extensively before releasing them, you never know what they will break.
OTOH NTFS permissions are much more complicated and fine -grained than UNIX/Linux and all you need is a little Registry hiccough and things behave oddly.
Try looking at <rightclick on file in question> Properties > Security > Advanced > Effective permissions for the logged on user.
As always, reboot a few times and sleep in it before you start chasing glitches in Windows - lots of them go away in time, and hasty blind tinkering & reinstalling of stuff usually borks Bill's toy OS completely.
Why SimplyMEPIS - http://www.mepis.org/ - Linux?
'Cos it's a really good distro!