You can run a program as a different user without logging out and back in again. Right click on the program icon (exe), select Run As... and enter the user name and password you want to use. This only applies for that run. The trick is particularly useful if you need to have administrative permissions to install a program, which many require. Note that you can have some fun by running programs multiple times on the same system as different users, but this can have unforeseen effects.