It is due to network setup and the easiest solution is to add the address of your MR server to the Local Intranet or Trusted Sites area in Internet Explorer and select the "Automatic Login with Current Username and Password" in the Logon area. This will only work if you're on the same domain as the MR server.
If you wish to have the report open in the Report Viewer by default instead of the website, you can change this under Tools -> Options and check the box to use the Management Reporter Viewer as the default viewer.
Hope this helps.
Mike