Microsoft did add some restrictions even to the administrator users.
There is something called UAC (User Account Control) settings that make more restrictions to both normal users and administrators; to make sure you are not going to damage your OS by mistake, and prevent viruses from doing so.
The built-in Administrator account bypass these restrictions, that's why Microsoft disabled it.
So, if you enabled that user and used it, then you know what you are doing.
So, you can simply right click on the exe file and click "Run as Administrator", to force UAC to give you the extra needed permissions.
Or, turn off the UAC.
GO to Control Panel => User Accounts => Change User Account Control Settings.
Upgate:
Just to clarify some points:
When you right click on an exe file and click "Run as administrator" you are not using the built-in administrator account, you are just escalating the permissions needed by the exe file.
There is something called "Admin Approval Mode" in the UAC settings (can't be managed from GUI) and its disabled for the built-in administrator.
So, The built-in Administrator account runs all applications with full administrative privilege.
Check this to verify: http://technet.microsoft.com/en-us/library/dd834795.aspx
Just like in Linux, when you use the root user, you don't need to use sudo
And so in Windows, when you use the build-in Administrator account, you don't need to click "Run as administrator"
