If your <server> name as periods (.) in it, you will need to add your <server> name to the Trusted Zone or intranet zone since IE thinks it is an internet site.
If <server> does not have periods, you will need to determine if the site is considered Trusted or Intranet. Depending on which zone, you can go to the zone an select "Automatically logon with current username and password" in the customize level.
If neither of these work, check the NTAuthenticationProvider on that particular web instance in IIS.
Bruce Taimana - SDET TFS Server Team |