Long story short, there is only a “Run as Administrator” option in Server 2008, unless you hold down “Shift” before you right click.
Run as is a great tool to test password changes, permissions, and so on. Recently during a customer visit, we changed the Administrator password to something ridiculously long and had to be absolutely sure we could authenticate using the new password before logging out and back in. A decent test of this was creating a shortcut to “cmd.exe” on the desktop, then doing a “Run as” the user with the new password to test.