If using Windows Authentication is required then some configuration in Internet Options must be added.
The registry keys needed to use Single Sign-On with Internet Explorer are these:
[HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\2]
"1A00"=dword:00000000
[HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Domains]
@=""
[HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Domains\domain1.com\subdomain]
"https"=dword:00000002
[HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Domains\subdomain.domain2.com]
"https"=dword:00000002
To add those values a Registry element can be used, to do that
With this configuration Single Sign-On will work in web sites with credential dialogs.