User authentication

My vb application have a feature which downloads data from site and updates database.
I use vb Inet control and it functions fine, but fails to download if there is user authentication check on client machine.
(user authentication, I mean when a new browser window opens the user is asked to put username and password)

Actually, via my vb application the authentication dialog box doesn't appear on screen.

I would like to know how get the authentication dialog box appear through application.
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The Inet control has UserName and password properties you can set before you use Execute to specify the user name & password.  The only ways I can think of to display a window asking for user name and password, are

A) When you get an authentication error back from Inet, put up your own user/password dialog box, set the username & password and try again (this is basically what a browser does)
B) Use a browser control instead of INet.

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