http://support.microsoft.com/kb/q190533/
I believe that is related.
A while back, microsoft removed the ability for .htaccess authentication to work because it transmits the password in the clear. They later readded it, but the bug reappears from time to time.
Another possibility is that you are using referrer protection, and .htaccess protection and have a satisfy any directive at the bottom. WiMP doesn't send a referrer, and thus apache (or whatever web server software you use) will then request htauth from the player.