Unauthorized to open plugin page


I setup a new WP installation. First thing, I installed WPMU DEV Dashboard to connect the Hub. Usually that always works. However at that customers server, when I try to open the plugin, I get prompted by my browser to enter login credentials and when I abort, I get the following message:


This server could not verify that you are authorized to access the document requested. Either you supplied the wrong credentials (e.g., bad password), or your browser doesn't understand how to supply the credentials required."

Further, the link to the dashboard in the left WP-Admin navigation bar has a lock icon next to it.