SSMS Permissions – How to Run SSMS as a Different User

permissionssql serversql-server-2016ssmswindows-server

I am running SSMS as a different user from my local machine and it works fine.

When I try to do the same, even using my own credentials, on server01 I get the following error:
access is denied

I am currently in the Administrators group in that server:
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The way to run ssms as a different user is:

1- right clink on the ssms icon if it is already running otherwise follow from 2
2- witht eh shift key pressed right click the ssms icon and it will give you the options as shown on the picture below.

enter image description here

considering the password is correct and I am sysadmin what could be missing?

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