how create 'Authentication Required' for URL?

Question

For the download files from certain sites, you must ENTER your username and password in 'Authentication Required' window. How is this implemented?

Like this picture:

Authentication Reguired Window http://s9.uploads.im/sVCmz.png

Use 'UserPrincipal' to add 'Local User' and then use 'DirectorySecurity' to give permission, is the right way?