Sometimes there are applications that you wish to always execute with the credentials of another user (say an Administrator user). If you are doing this once in a while, the typical method of Shift+Right-click → Run as works fine.
To make a shortcut always execute with the Run as right-click it and choose Properties. In the shortcut Properties dialog choose Advanced and then tick the Run with different credentials option. After this, whenever you invoke this shortcut it will execute with the Run as dialog.
This is useful for applications like Search Everything which need Administrator privileges to be of any use. Also, very useful for applications invoked from a launcher like Launchy where the user does not get an option to right-click and choose Run as.