Whether your network credentials are passed to the session are based on
two factors. The first is the security zone that you are browsing to.
Internet Explorer defines four zones:
-Internet,
-Local Intranet,
-Trusted Sites, and
-Restricted Sites.

You can set "levels" of security for each zone using the Security tab or
the Internet Options dialog from the Tools menu. The second can be set
by clicking the Custom Level... button for the Internet or Local
Intranet zone. Scroll all the way to the bottom to the User
Authentication > Logon section. There you can choose from four options:
-Anonymous logon
-Automatic logon only in intranet  zone
-Automatic logon with current username  and password
-Prompt for username and password

The help says:
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Specifies how to handle requests from servers that require logon
information. Servers on intranets (and sometimes Internet sites) often
require a user name and password  to restrict access to authorized users
only. Select one of the following logon methods for sites in this zone:

To connect to a server by using your current Windows username and
password, click "Automatic logon with current username and password".

To connect to a server by using your current session username and
password, but only if the server is in your Local Intranet zone, click
"Automatic logon only in Intranet zone".

To connect to a server by providing a username and password when
prompted, click "Prompt for user name and password".

To connect to a server without attempting to provide or send logon
information, "click Anonymous logon".
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Proxy servers and other Internet appliances in your topology can also
pose some challenges.