SYMPTOM
You attempt to click just about anything in the Enterprise Data Loader and receive the following error:
Cannot open EDLLoadService service on computer '.'.
This includes attempting to create new events, starting and stopping the EDL Load Service, and event Tools > Options.
This is happening in both Windows 7 and Windows 8.
CAUSE
The EDL Client application isn't running as an administrator. When you attempt to do the various activities above, the EDL client attempts to pause the service. This way, it doesn't try to run an event while you are making changes.
RESOLUTION
Close the EDL client application. Right click the Enterprise Data Loader icon on your desktop and choose Properties. Click the Advanced button on the Shortcut tab. On the dialog that pops up, check the Run as administrator checkbox and click OK all the way back out.
Restart the EDL client and the problem should be solved.
You can also right click on the icon and choose Run as administrator from the menu, but this is only a one-time situation. Checking the checkbox as outlined above fixes it permanently.