Program Files is a system area. Changes here affect all users of the computer. Because of this there is a change in the way the NTFS permissions are assigned in Vista compared to XP. You must take ownership of the folder. Once you are the owner you will be able to change the permissions as you like. Here is how to take ownership. This is copied from Help and Support.

     To take ownership of a folder
    1.  Right-click the folder that you want to take ownership of, and then click Properties.
         
           2.  Click the Security tab, click Advanced, and then click the Owner tab.
         
           3.  Click Edit. If you are prompted for an administrator password or confirmation, type the password or provide confirmation.
         
           4.  Click the name of the person you want to give ownership to.
         
           5.  If you want that person to be the owner of files and subfolders in this folder, select the Replace owner on subcontainers and objects check box.
         
           6.  Click OK.
         
   

Before you complain that you are the only user on your computer you have to understand how Windows works. There are many user accounts on your computer that hackers can take advantage of besides yours. Just a few are Administrator, Guest, Local System, Trusted Installer, Network Service, and more. All of these accounts are protected in various ways and files and folders are also protected from these accounts. It is the way security works. Without this type of security your computer is open to malware no matter what programs you install. The current animated cursors exploit is a good example of the dangers of weak security. In Vista (with UAC on) the damage this exploit can do is minimal even if you have no security programs installed. It is easily repaired and you never lose control of your pc. In XP even with a firewall, AV, anti-spyware, whatever installed if you surf to an infected site the system will be infected and owned by someone else.

Sometimes the problem may be because VISTA has two levels of
Administrator so far as I can see. I'm not technical expert on this but
I get the impression that unless you specify otherwise Users are in
fact labeled as User/Adminstrators (or is it Administrator/Users?) but
there is a higher level of adminstrator set up when you install VISTA
and this top level Administrator log on is hidden unless you make a
change manually somewhere in the innards of VISTA's works.

I did it at the time but forget which message it was here that talked
about it. But I know have a Administrator Icon on my logon screen as
well as the two users.

I did also go in and upgrade my own User Permissions as far as I could
and I've not run into this problem any more.

One more thing I did although I don't know if it actually did anything
was to "tke control" of the entire C: drive that VISTA is on when I
boot to it.

I'm sorry not to be able to give you a path to follow but I'm sure
others can, if these hidden barriers are part of your problem.

On Mon, 2 Apr 2007 09:50:01 -0700, D3DAiM

I'll ask the obvious questions...
 - what file is it and where is it located?
 - what put it there?

Not all blockages are UAC etc.  If you can happily manage other files
within "C:\Program Files" except this one, then I doubt if it's UAC.  

It's either actively-asserted behavior, or the app has tatoo'd itself
with NTFS permissions that precludes your control, or both.

When software acts against your interests, and does so without
disclosure, I consider this malicious, hence "malware".  

Such malware includes:
 - traditional viruses and other extra-legal malware
 - legal or pose-as-legal commercial malware, unwanted spread
 - malware in wanted software, self-serving, e.g. license enforcement
 - malware in wanted software, serving others, e.g. DRM
 - custom software installed by a "personal" adversary

Antivirus scanners should pick up the first and some of the second,
and "antispyware" should pick up the second and some of the first.
It's up to you to detect and manage the next two, since law and the
industry are not on your side.  

The last is the toughest, because the software you are after may be
unique to your system (i.e. custom-written for your attack), and if
so, nothing will recognise it on a black-list detection basis, and
searching forums won't find exact-match help either.

Oh duh, on re-reading this I see it's the MSN folder itself that you
are trying to kill.  Perhaps that's specifically protected by the OS
(a la System File Protection, later called Windows File Protection,
that came of age in WinME?).

I can't think of any reason why you or the system would "need" MSN
that isn't a leveraging of the desktop monopoly by MS.  Any takers?

Actually, I'll leave the stuff I wrote first, in place, because it may
still apply.  Malware can use any names, including those normally
associated with other (legitimate) things, so...

     "Why do I keep open buckets of petrol next to all the
     ashtrays in the lounge, when I don't even have a car?"

On Mon, 2 Apr 2007 12:54:15 -0700, D3DAiM

I know the feeling, but it's a 2 x 2 state chart...

                      I feel like I've been hijacked    I feel OK
I'm hijacked                       A                              B
I'm OK                               C                              D

Guesstimate % pie chart slice size for states A, B, C and D

Next, weight the significance of states A, B, C and D

What pain do you want to endure today?

  On the 'net, *everyone* can hear you scream

Alright!

This is no philosophical discussion that I intended.

In a recent discovery, I have noticed I cannot even access
C:\Users\Administrator\Local Settings without an "Access Denied"..

LOL

Ok, so I understand they "junctions" then. How about the folders in my
C:\Program Files that I cannot modify.

Such files include, but are definitely not limited to, the MSN, Windows
Defender, and Windows Mail folders.