Opening programs

If the program requires administrative privileges and you run it manually, then you get the prompt. I typically run programs that require the prompt no more than a couple times a day, so it's not a big deal to me. And I run with a non-admin account, which means I need to type my password in each time it happens.

The UAC prompt is like a peephole in your front door. Most people wouldn't open their front door at the sound of a knock without first looking through the peephole to see who's there. The UAC prompt lets you see what program you're "letting into the system" to perform admin functions before it actually gets in.

Software that regularly requires admin privileges and is expected to be used often should be designed so that the privileged part of it runs as a service. That way you can interact with an unprivileged interface that communicates with the privileged service the the background. This is how Microsoft Security Essentials works, and why it doesn't issue the UAC prompt when you use it.