Add a note that extra privileges are required

I'm not at all sure I have characterized these properly.
The exact security requirements vary by Windows version, with Vista and later being stricter.  This is partly because under W2K people tended to run under administrative accounts routinely.

I'm also not sure that the situation on OSX is the same as other *nix's.

Although I'm assuming your installation scripts are managing the sudo, this seems like something that the julia package management software should provide as a service.