well,
Header("Location: http://user:password@domain.com/directory/");
should work, but i've never tried it.
if you get the prompt you probably have the wrong user/password combo entered. if anything you should at least have the username field filled.
Q: when you put in the user/pass combo when the dialogue box comes up, do you get to your desired page? (eg: http://user:userpassword@domain.com/directory/)