Sharepoint – Access Denied Page.

Hello,
I was wondering if you would know – how to disable i.e. not to show this page when the user clicks Cancel on the password prompt pop-up.
This is what happens :
1. A user clicks on a link in Sharepoint(to which he doesn’t has any access).
2. He gets the password prompt.
3. He hits Cancel but still the page redirects to Access Denied Page.. Request Access page.

Is there any way I can change that so that the control stays where the user is if he hits Cancel.

thanks,
Anjali