Windows needs credentials?

I have a small home wireless network with the Linksys cable modem and Linksys wireless G router. A little while ago I logged onto
one of the PCs in my network and one of those little bubble messages came up above the task bar telling me that Windows needs me
supply my credentials and to click on the little icon for information. I clicked and it told me to do a cntrl+alt+delete to "Lock"
my computer and then hit enter. I've not seen this before. I'm using high security settings with the hexadecimal setting on my
network. I do not broadcast my network. Any clues on this?

Thanks !
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RMC,CPA