This is a common issue on Windows Vista and higher. Due to the User Access Control (UAC) feature in Windows, even if you are logged in as an administrator by default you do not have administrative privileges when an application by default. To run an application in an administrative mode, you will have to right click on the application icon and select "Run as an administrator".
To workaround the issue, you will need to open the Windows Command prompt as an Administrator. To so so, locate the shortcut to the Command prompt in the Start menu under Accessories. To run as Administrator, right click on the shortcut and select the option "Run as Administrator". If successful, the title for the command prompt should say "Administrator: Windows Command Processor." If so, run the "mdce install" command from the Administrator's Command prompt to install the service.