I think (though I'm not sure) that will only work for basic authentication on a website. If the site is configured to use windows authentication, I think the browser is unable to just use the information in the url and then performs a windows authentication (perhaps that's the dialog box you see). What form of Authentication is that website using and are NTFS permissions overriding the site settings?
Jeremy
Jeremy White
Webstone, LLCMy DNN Blog