How to request administrator permissions when the program starts?

Add the following to your manifest file:

<requestedExecutionLevel level="requireAdministrator" uiAccess="false" />

You can also use highestAvailable for the level.

Look here about embedding manifest files:

http://msdn.microsoft.com/en-us/library/bb756929.aspx

PS: If you don't have a manifest file, you can easily add a new one:

In Visual Studio, right click project -> Add Item -> Choose Application Manifest File ( under General for Visual C# items)

The added file will already have the above part, just change the level to requireAdministrator from asInvoker

Put this XML in a file called yourexename.exe.manifest:

<assembly xmlns="urn:schemas-microsoft-com:asm.v1" manifestVersion="1.0">
<trustInfo xmlns="urn:schemas-microsoft-com:asm.v3">
   <security>
     <requestedPrivileges>
        <requestedExecutionLevel level="highestAvailable" />
     </requestedPrivileges>
   </security>
</trustInfo>
</assembly>