Correct way to update programs?

What is the crrect way to install updates on already installed program. I updated the Azureus today and as a common user I have no right to update that program. The update function in the program works fine an downloads the update to the tmp dir but when it tries to update it fails, cause of my rights in the filesystem of course. My question is. Is there a way to like in windows to "run as" admin or in this case root on a single program? Or is there another easy way? I have fixed this logged in as root but still would like to know the correct way :).... Regards /Per