Requesting administrator privileges at run time

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Is it possible to get a C++ application running in Windows to request administrator privileges from the operating system at run time?

I know it can be done at compile time, but can't seem to find anywhere whether it can be done at run time.

Thanks for your help!

EDIT: What if I want the current instance to have elevated privileges? For example, I might have data stored in memory which I want to keep.

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