As an alternative to the much older hint Create a GUI Finder with root access, I found an easier way to do this. Open a new Terminal window and type:
sudo /System/Library/CoreServices/Finder.app/Contents/MacOS/Finder
After giving your root password, a Finder window with root privileges pops up behind your Terminal. Do the dangerous stuff you want to do but weren't able to do with "normal" privileges (eg copying Fink's entire /sw folder). When you're done being dangerous, close your root Finder window by pressing Control-C in the Terminal (thus exiting the sudo command). The root Finder window will vanish.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20041030031829443