You need to make sure the cookie is saved in your browser, Andy, and not deleted each time the browser is closed. You should be able to stay logged in then.
I think some of the annoyances, such as that in Vista, will at least be partly eliminated with Windows 7, when it comes along. It's a shame, because I wouldn't have thought it would have been impossible for UAC to remember a decision, so as to avoid it requesting permission each time.