What's happening is that the programs you install copy the shortcuts to
C:\Documents and Settings\All Users\Desktop and C:\Documents and
Settings\Start Menu\....

Items that are copied to the All Users folder are available to all users
(hence the name.) If you delete them, they are deleted from the view of all
users as well. Thing to do is move them from the All Users folder to the
appropriate location under your own User folder.

It's not Windows, it's the lazy installers that give you no option to keep
the shortcuts to yourself. I've seen installers that do offer this option,
asking if you want to allow all users to use the program or not. I've also
seen installers that default to only giving the current user the shortcuts
and don't give you the option of sharing the app with other users.

Hello,

In Windows Vista, everyone runs as a "limited user", even administrators.
When logged in as an administrator, all programs are locked down as a
limited user, unless they ask for permission to be given full access to your
computer, or your unlock the program specifically by right-clicking it and
clicking Run As Administrator.

In this way, you can easily run programs that need admin access AND still
have the security afforded by running as a limited user.