why?

Hi! I can't figure the thing with Windows Integrated authentication... I have checked a website for doing this. I still have to enter username and password even if I'm on the local computer (through a VPN though) This would be the same as using computer locally on the network, but I have to enter username and password. I'm sure I have checked the "Windows Integreated authenication" - checkbox for the website it's about. When I have entered username and password I can go on and do whatever I want on that site... I've tested with both IE6, and IE7. What could be the problem? Best regards /Gustav Wiberg