If you are using Internet Explorer...

To get this to work (you only have to do this once)

Go to 'Tools' and click 'Internet Options'

Click the 'Security' Tab and choose 'Custom Level...'

Scroll down to the 'Scripting' heading and look for 'Allow Websites to prompt for information using scripted windows'

Click 'Enable'

Try to log-in again and you should have the password prompt show up!