WEBDAV requires double authentication - sometimes

I have an IIS 6 server with webdav enabled. I have a folder for each user.
When the user tries to connect via a 'web folder' to
https://webdav.xxx.edu/username, it asks for a name/password (I am using
basic auth via SSL). Once I type it in and hit enter, it immediately asks
me again (whether it was right or wrong). If I do it correctly a second
time, I get the window showing me the files.

If I close that window and try to map again (before logging off), it only
asks for a single authentication. If I log off and back on, it always asks
for it twice.

Is this expected? I'm not doing anything fancy with redirecting to shares
on another server or user impersonation or anything.

Thanks
Jay