This is something that will happen to a lot of users when using MOSS and IE7. You can search for the issue and find many possible causes and resolutions. Typically, the problem can be resolved by adding the site to your Local Intranet sites in IE's options. Below are the directions to do so.
1. In Internet Explorer, click on Tools > Internet Options
2. On the Security tab at the top of the dialog window. Click on Local Intranet. Click on the Sites Button
3. On the Local intranet dialog, Click on Advanced
4. Type “http://mysite.mycompanysite.com” in the box labeled Add this website to the zone:. Click the Add button. Then click the Close button.
5. Go to the Advanced tab at the top of the Internet Options dialog window. Scroll down to Enable Integrated Windows Authentication under Security, and check it if it is not checked.
6. Close all instances of Internet Explorer.
- Dan Lewis