Probably you were doing things like:
sudo apt-get install kmail
But I think you have to do pretty much the same thing in Vista to install software (provide the local Administrator password).
First, I don't use Vista. I use XP and/or W2000. So I don't have do this when installing an app. Second, typing a username/password that one commonly recalls, when prompted by a window, is far different than having to type a command fitted for a specific function. "Sudo apt-get install kmail" or whatever, is only one of many, many Sudo commands. For a person familiar with Windows application installations, where all one has to do is run the EXE file and answer questions, the Sudo requirement is significantly backwards, IMO.