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.