I think a bit more information is in order:
External connections via non-domain member aside, Internally, I've
noticed that that authentication requests seem to happen each time you
attempt to open an OFFICE document on the SPS2003 box.
The SQL 2000 server and the SPS 2003 server are on the same box.
The external portal server sits on an isolated DMZ with only the proper
ports opened to connect to one of the DCs.
If a user attempts to open a PDF file, or some non-office document, then
the file just opens.
IE has the server in the rusted site category, and the setting is
"automatic logon with current username and password."
All of the computers in the build are members of the domain.