On XP there is "runas". And since SP2(?) there is a commandline switch called /savecred. Now create a batch file to start one of the myriads of Explorer alternatives (TC, Altap Salamander, WinCommander,...: hey, they are all better then Explorer

) with "runas /user:administrator /savecred MyExplorerAlternative". On the first run you will be asked for the admin password, but for the following time you will have a convinient way to use admin rights without any questions (like sudo on unix)...
I use this on my home PC every time i need admin rights.
Bye, Peter