MS Project 2002 Web

MS Project Web Authentication Issue
We have approx 50+ users using Project 2002, Project Web and SharePoint. I
have one user who tries to access Project Web and as soon as he clicks the
link for Project Server, he is prompted for the domain username and password. No other users
experience this issue. We verified the user: a) in the domain b) is in
the same group as all other users c) password has not recently been changed

(Users do not login to SharePoint or Project web, the user accounts are
derived form the domain account when using Project Web)

If user enters domain\username and password, as long as they do not close
their browser, all is well…

Any ideas why this user is being prompted for domain login credentials?