Isa 2004 exceptions not working properly

Hi all,I have setup a rule in ISA 2004 to deny
all outbound traffic from internal to external
but with a few exceptions to a few sites to a
specific global security group called restricted
users.The problem is that it works but everytime
i go to one of the excepted sites it brings up a
username and password box which you can close
and work further but it is anoying.How can i get
rid of this.Settings are as follows:
General:Restricted users -enable
Action:Deny -Log requests matching this rule
Protocals:Http
From:Internal
To:External -exceptions -allowed
sites(*.yahoo.com)
users:restricted users -global security group
schedule:always
content types:all content types

Your help is greatly appreciated ,thanx