`Access is denied` when I try to create a directory in Windows Vista . .
Yes.
Tap your Windows key to bring up your start menu, and type cmd to bring up the prompt program, you should now be able to right click on the icon and select Run as Administrator.
After some UAC clicking you should now have a prompt with escalated privileges.
Another alternative would be to use the runas command from the command prompt (you could also put it in a batchfile).
runas /user:computername\useraccount mkdir thedirtomake\somesubdir\
All you need to do is fill in the computer and account names.