That shield represents that the program, Control Panel item, or setting is
under the control of User Account Control, or UAC for short. You must sign
in as an admin to run the program. If you're already signed in as an
administrator, click Continue on the screen that appears; if you're anything
else, select an administrator account from the list and enter its password
before clicking Continue. In either case, all Windows tasks (except things
like music) stop while the UAC dialog is open.
UAC can be turned off if you find it intrudes too often.