How can you stop reauthetication when downloading/opening office documents in sharepoint?

I successfully login to my sharepoint (wss3.0) site with my AD credentials and when I try to view/open a word docume开发者_JAVA技巧nt in a document library, I am again prompted to re-enter my AD credentials. Is there any way to stop this? And if not, why is it so?

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Add your SharePoint site to the Local intranet zone in Internet Explorer settings.

Best Practices for SharePoint End-User Success (page 2)