How do I keep windows xp from asking which user account do want to use to run th

Hello, My Windows XP computer asks, whenever I try to start a program, which user account I want to use to run the program. The question appears in a window titled RUN AS. I've obviously done something wrong since this window does not pop up when my wife logs on using her account. Dire warnings about security concerns are included in the window, which makes me nervous about continuing. I have run my anti-virus program but makes no difference.
Any help greatly appreciated.