Password protected folder

[#1]

A little help needed please.
I have a password protected folder using .htaccess - this works fine.
With IE as the browser when I open a Word document that is in the protected area and then close this document - a password box pops up after the document closes.
This does not happen with .pdf files.
Can anyone shed a little light on this plz.
Thanks
P

[#2]

Do you keep word open? If you do it will put the file on the recant list and check the link hence the box. PDF files you tend to close after reading

[#3]

I am using IE6
When I open the .doc file this opens in a new browser window (not Word) as a word doc.
When I close this browser window the password box reappears even though I am still logged in in the previous window, which is still open.
P