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Opening Excel Files prompts for Windows Authentication

I have an application I am developing in ColdFusion 7.0 using IIS 5.0 and sql server 2000. The application allows users to upload files onto the server. Later, other users can download the files. The whole application is using Windows Authentication. No one can get into any page or folder without logging in. Now comes the fun part. I can open .doc, .pdf and .rtf files without a problem. However, when a .xls file is selected, it give the usual pop up box with open, save, cancel options but when you select open, a Windows Authentication box opens. This is the primary problem. Why does the authentication box open? Next, if you cancel the box, the file will still open. I sure could use any feedback on this issue.
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