Windows Vista, OS X and Linux (e.g. Ubuntu/Gnome) each ask for permission when certain operations are performed. I know when I've initiated such an action most of the time. Occasionally, I'm not expecting the dialog to pop up because I don't consider what I've requested to be needing permission. This makes me nervous.
How easy is it for some mal-ware to spoof such a dialog? I would say it's probably trivial.
What can be done to prevent getting caught by this?