Do you mean log in as root and run an X session as root? If Mandrake,
mdk control centre - system - login manager: uncheck root.
For all other distro's when you log in, you select root and root's password. Maybe you
enabled the autologin feature, where X comes right up to your regular user? If so, simply
right click on the desktop -->Select logout, then when the window pops up, log in as another
Why not just su in a console then run the app? Or open File Manager-->Super User Mode and then you can 'Open with...'
Running X as root is just not a good idea.