In addition to the document that pfox related to - I have run into similiar issues when you are trying to run authenticated scans on Windows 2008 when you're not using the built in administrator account. UAC needs to be turned off for that account. Once they are disabled, you can then go back and turn them on individually (odd, I know).
To turn off UAC: Control Panel -> User Accounts -> Turn User Account Control (on or off)
To turn back the default UAC controls manually: Administrative Tools -> Local Security Policy -> Local Policy -> Security Options
This is covered for Vista hosts on page 11 in the aforementioned document.
I hope this helps.