"I don't know what happened, but now when I open the Run dialog on my Windows Vista machine by typing Windows+R, there is a shield under the edit box that says This task will be created with administrative privileges. What's going on?"
One my colleagues used psychic powers to solve this problem: "I imagine that you manually killed Explorer, and then you used an elevated command prompt or an elevated Task Manager to launch a new one. An elevated Explorer shows this message. To fix it, exit your elevated Explorer, and exit your running elevated copy of Task Manager (if any). Then type Ctrl+Alt+Esc to launch a normal (non-elevated) Task Manager and use File, New Task to run a new un-elevated Explorer."
My colleague's psychic powers were right on target.
"Your psychic powers are better than my memory. I now recall that I did kill and restart Explorer when debugging my shell extension, and I did so from a command line, which—given the evidence—must have been an elevated command prompt."