Can't Change Default Programs

I just got a new machine with Windows 7, and a few things are driving me crazy; namely permissions.

I am logged in as the administrator, but it won't let me change any default programs. In the Default Programs menu in the Start Menu, all of the checkboxes are greyed out, preventing me from removing associations.

Using the right-click menu on files to change the default program doesn't work either. For example, it will let me choose Windows Media Player as the default .AVI player, but if I double click on the file, it still loads winamp. And yes, I did turn off the auto-reassociate on winamp as well.

Also, even though I'm logged in as the admin, it still sometimes won't delete certain files or folders until I click "as admin" when it prompts. It also refused to install Photoshop to anywhere but the desktop due to me not having permissions to make a new folder in Program Files.

I really want to like Windows 7, but this is driving me nuts!