I created my first website in ASP.Net and I am trying to get it up and running on our intranet here at work. I have got almost everything completed now, and I have come to a
Add the site to your trusted sites in IE.
You need to make sure that "Integrated Windows Authentication" is setup on the site (and in IIS), other wise it won't take their login credentials and pass through.
http://technet.microsoft.com/en-us/library/cc754628(WS.10).aspx
http://codesnip.net/iis7-integrated-windows-authentication-win-2008