I run into the same issues quite often with my Vista, and the three steps I always take is disabling DEP for the game's .exe in the Program Files folder, running as administrator and finally using compatibility mode for XP SP2.

Right click the .exe and click on the compatibility tab. From there check Run this program in compatibility mode for Windows
XP SP2.

>_< I Hope it stops doing this for you. As LadyCFII mentioned, it probably notices the changes and defines it as a security risk.