I found a (lengthy) guide to doing this but it is for gksu which is gone. I have to imagine there's an easy way. I am running Ubuntu. There is no specific use case, it is just a feature I miss from windows.
EDIT: I always expect a degree of hostility and talking-down from the desktop Linux community, but the number of people in this thread telling me I am using my own computer that I bought with my own money in a way they don't prefer while ignoring my question is just absurd and frankly should be deeply embarrassing for all of us. I have strongly defended the desktop Linux community for decades, but this experience has left a sour taste in my mouth.
Thank you to the few of you who tried to assist without judgement or assumptions.
You don't need to run any GUI programs as root.
There's one in every thread.
I have no idea what you are talking about. The answer to your question is: this is impossible and this is done for purpose. Don't try to work in linux like in windows.
Your attitude.