This is usually an Internet Explorer problem. IE has a very weird setting which disables your ability to log in to sites that use HTTP authentication. Here's how to fix it:
Click the menu "Tools", "Internet Options...", then click the tab "Security", then the "Internet" icon, then click "Custom...".
Then scroll to the bottom of that screen and click "Prompt for user name and password".
Then click "OK" a bunch of times.
I'm not sure why you would ever want to "automaically login" to regular HTTP authenticated sites, it seems insecure. But if you need to, you can put those sites in your Intranet Zone and select "Automatic logon only in Intranet zone".