First you need to know you can login to a password protected dir using the syntax:
http://username:password@domain.com/protected/

I'm not sure that this will work on fully-patched versions of IE. Didn't Microsoft disable this to protect against certain "phishing" scams?

Update: Found this link on the MS website that gives more details: http://support.microsoft.com/default.aspx?scid=kb;en-us;Q834489