LarryGot, I found the solution...
Everytime a CFM template gets executed on the Web server, it will automatically try to find application.cfm in that directory, then above it, and then above that one, until it finally finds one. When it finally finds an "application.cfm" file, it is outside the authenticated directory up a branch or two. Because of this, the server will automatically challenge the user to login again and again.
So a quick solution is to copy an "application.cfm" file to the directory you want challenged and then it will magically work for you.
Enjoy!