I get the same thing when testing with TruClient IE browser.
Seems to me, there should be a method to enter windows credentials (note this is NOT Proxy Credentials) when using TruClient so this popup is handled automatically.
Not to mention, sometimes the popup doesn't even display, so I had to script a workaround for just such an event.
One of the reasons I shy away from TruClient, while it is easy to use - it is too restrictive -even with custom code.