It's UAC kicking you down. Non-elevated processes basically have no rights in the INETPub directory structure.
What we do on all our W2K8 boxes is install a folder on the desktop with 3 shortcuts in it - CMD (elevated), Explorer (Elevated) and ProcExplorer (Elevated). Each admin then right clicks them and selects "Pin to Start Menu".
UAC is quite painful with access issues - the error messages are standard "Access Denied" errors rather than "UAC is preventing access" errors, which is confusing as all get out. I don't know how many times I've logged on to a "broken" box where the admin has granted full rights to Everyone in an attempt to fix this w/o knowing it's UAC overriding the ACLs.
Notes: To get explorer to work as elevated, you need to edit the folder options and check "Launch folder windows in a separate process". Or run this REG file:
Windows Registry Editor Version 5.00