While upgrading SCCM 2008 R2 to R3 on a Windows Server 2008 R2 machine, I found that starting the setup gives an error stating that it needed to be run with elevated privileges…
When doing a right-click on the setup, however, there was no such option!
If there is no such option, let’s create one 
Howto:
Open regedit.
Goto “HKEY_CLASSES_ROOT\Msi.Package\shell”
Create a key under it named “runas”.
Change the default value for this key into “Elevate This!”.
Goto “HKEY_CLASSES_ROOT\Msi.Package\shell”
Create a key under it named “command”.
Change the default value for this key into “msiexec /I “%1””.
Now right-click on the MSI and select “Elevate This!”. 
SCCM 2008 ?
Quote from post: “While upgrading SCCM 2008 R2 to R3 on a”… so yes, SCCM 2008 🙂
Why not open an administrative command line, chanedir to THE setup file, type setup and hit enter?
That is also a way, found my one to be more fun 🙂 And it’s a permanent solution.
But an elevated command line will do the trick also for that instance.