From Microsoft Knowledge Base Article - 196383:

SYMPTOMS
When windows are opened from script in an HTML page using window.open or ShowModalDialog, Internet Explorer responds by prompting users to enter their username and password every time a new window is created. This happens even though the user already entered a correct username and password and successfully authenticated with the Web server.

New windows may also lose Web server session information, creating a new session or reusing an older, incorrect session from a separate Internet Explorer instance.

Also, if the new window contains a Java applet that accesses static information from a class, it may not be able to share that information with an applet in another window.

These symptoms do not appear if the Windows Desktop Update is installed and the browser is not set to "Browse In New Process."

CAUSE
When asked to create new windows through script, Internet Explorer might create the window in the wrong Internet Explorer process. Because authentication credentials and the temporary cookies used for session identification are cached per process, new windows need to re-authenticate and start a new session if they don't open in the same process as their opening window.

This behavior can appear random; the determined process for new windows is dependent on several variables, including timing and browser configuration.

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