Automatically invoking gksudo like UAC

Linux doesn't allow for this. Unlike Windows, where any program can launch a dialog box, and UAC is in the kernel, Linux programs aren't necessarily GUI-capable, and sudo is not, in this sense, in the kernel. A program cannot make a call to elevate privilege (unless it was launched with privilege to begin with and intentionally setuid'd down). sudo is a separate executable with setuid privilege, which checks for permission. If it likes what it sees, it forks the shell to execute the command line. This can't be turned inside out.

As suggested in other posts, you may be able to come up with some 'shell game' to arrange to run sudo for you for some enumerated list of commands, but that's all you are going to get.

You can do what you want with a preexec hook function, similar to the command-not-found package.

There's no way to do this given the current linux software stack. Additionally, MS has a patent on this behavior -- present a user interface identifying an account having a right to permit a task in response to the task being prohibited based on a user's current account not having that right.