A SharePoint KB article was posted today that's more like a FAQ item, and it got me thinking about all the other "oh yeah [slaps forehead]" things I figured out while setting up and configuring SPS/WSS sites. I've been wondering what sort of SharePoint posts to write and beginner snippets like this make good sense so expect more.
This particular KB article answers the question, "why do I need to login again whenever opening a document?" The answer is that Basic Authentication is still turned on, so your credentials aren't passed from MSIE to the app requesting the document. You can read the official answer on KBAlertz or MSDN.
If you're on an intranet you'll want to turn off Basic and turn on Intgrated Windows Authentication as you presumably have control over the browser installed on desktops. If you're hosting a public WSS site with authentication this configuration change will bung up non-MS browsers which don't support the authentication model (Opera, Netscape, Safari), the decision is yours.