I've found this while googling for a solution:
1) In Internet Explorer 8, click Tools and the click Internet Options.
2) In the Internet Options window, switch to Security tab, click “Trusted sites” and click Sites.
3) Add the URL of this site and your domain name and close the Trusted sites window.
4) Go back to Internet Options, select “Trusted sites” and click “Custom Level”.
5) In the new-opened window, under “User Authentication - Logon”, please select “Automatic logon with current user name and password” and click OK to apply this setting.
6) Then click OK to apply all the settings and close Internet Explorer.
7) Try again to see if the prompt still appears.
And it works!
Hope it helps somebody.