One of my company’s client (with 4 servers in the farm and Cisco Network Load Balancing) had recently experienced abnormal behavior on Shared Services administration site. SSP admin site had started prompting them to login three to five times every time they clicked on some of the links within the site or when they just tried to go to the site itself. When we started looking into this issue it became apparent that they switched from Cisco router to Juniper’s NLB solution, which provides them with more features than Cisco used to do. Shared Services Provider Administration site is NLB balanced and after looking into NLB settings for these web application, we saw that it had compression and acceleration turned on.
We turned it off, both of these options, and the constant challenge for authentication disappeared.
Unfortunately there was not enough time to test, so I can’t tell you which one of these settings was directly contributing to this issue. But it resolved the issue.