Hello,
We have solved this problem, by adding the portal URL to our Trusted or Local Intranet Zone in Internet Explorer.
This behaviour is fairly common with sharepoint, so make sure you add your portal url to any of the above zones (we have used Local Intranet Zone and configured to allow automatic logon only in Intranet Zone)
Another thing to think about is that if Anonymous access is turned on your users might not be properly authenticated when going to the portal.
Regards,
Thomas