I’ve finally switched over to IE7 and Vista and spent ages trying to figure out why I was being asked for a username and password when going into various sections of a MOSS 2007 portal – but never the homepage. With the proxy settings applied it worked fine, but when I removed them the security box appeared. It was nothing to do with security settings in the browser, it just needed a patch from MS. Just follow the details, apply for the hotfix and bingo. Appararently this hotfix will be part of Vista SP1.