When connecting through Internet Explorer, users are prompted for credentials when connecting to a Web Interface site via Fully Qualified Domain Name (FQDN), even when the Web Interface site is configured for Pass-Through Authentication
This authentication prompt appears at a time when Windows Integrated Authentication is attempting to authenticate the user. This action is between the Browser on the client device and IIS on the Web Server, no Citrix code is executing at this time.
A setting in Internet Explorer on the client operating system controls this behavior.
Because this is a security related setting, such changes should only made when approved by the appropriate administrator or security team in your organization.
For more details, see Microsoft KB Article 303650 - http://support.microsoft.com/kb/303650
The following Microsoft TechNet article also contains further details regarding Internet Explorer - http://technet.microsoft.com/en-us/library/cc750035.aspx
More details on Windows Integrated Authentication is available here - http://www.microsoft.com/technet/prodtechnol/WindowsServer2003/Library/IIS/523ae943-5e6a-4200-9103-9808baa00157.mspx?mfr=true