There is a bug in ubuntu 9.04 (and perhaps other versions) when gdm is disabled that makes it difficult to administer the system. When gdm is disabled (useful when using a headless server, or a virtual server) the policy kit does not allow an admin user to perform admin commands. Sudo still works, but using the GUI tools fails.
The answer based on googling seems to be to modify the /etc/PolicyKit/PolicyKit.conf file and have a new line added: <return result="yes"/> near the end of the stanza. However, this allows any user to then make changes, so be careful! A better short-term solution is to modify the <match user="root"> line to match the admin account one wants to use.