Integrated authentication constant password promts

I setup this web app to use integrated authentication.
When i load it, it asks for username / password. I provide it, and the
application loads.
Now, since it's an Ajax application, when i click on something it
makes an Ajax call do data.aspx.
When that happens, i get prompted for a password again? The thing is,
no matter what i provide, i get prompted for a password. If i try to
access data.aspx directly through the browser, i provide username and
pass, and i get the data.
Back in the app though, i still get prompted for password.
Why is this inconsistent behavior occurring?
Isn't the authentication supposed to be by session and persist across
all serverside scripts?