In Windows, navigate to "C:\Program Files (x86)\Renegade X\Binaries\Win32", or it may also be "C:\Program Files\Renegade X\Binaries\Win32".
Basically just get to wherever you installed RenX, then Binaries/Win32.
In that folder, find "UDK.exe" (or it may just be UDK if file extensions aren't shown).
Right click that, and select Run as Administrator. If it works in this manner, I can give you a more permanent solution, as we've actually found your problem.