Downloading and Admin

Whenever I want to download something from a site or what not it tells me
that im not allowed to download the program into anything other than my
designated folder because it says im not the administrator. The only problem
is that I AM the administrator of the computer. I should have all the
priviledges but for some reason it is denying me from doing certain things
claiming that im not the administrator.. Any one else having this problem?
Any fix??