Authentication Problem

I am new administrator of my home Network.I install Proxy Server on my PDC.But my clint machine have a Massage when he try to access on internet.The Massage shows … Please enter your authentication information.Then shows USER NAME & Password.I just guess that it is an Firewall. But i don’t want that.i also don’t know How & Where i ‘ll go to configure that . Plzz help me to solve that.