Excel & Authentication pop-up

Hello,

People have been using my XL application for a few weeks - most have no problem.

Some are reporting that they are unable to Open the xls. They are getting a message box asking for "Authentication Information". When they enter data there, the box returns again and again - until they reach max number of tries, then a blank worksheet opens up. They never access my application.
Please tell me how to get around this. I do not understand why is this occurring - a security setting perhaps? Could it be cookies?

This is an XL/VBA running on a web server. It was developed with excel97 for upward compatibility. They User should be able to OPEN the application from its location (User has the choice to Open or Save the xls)

Thanks,
CJ