If the window with the question about the password appears, but none of the passwords do not work then you need to check the paths you specified in your .htaccess file.
Usually the problem is because the values you entered as AuthUserFile or AuthUserGroup are not right. All paths to files (directories) in .htaccess must be specified from the server root.
Your ISP should provide the full UNIX file path to your web site. But if not, you are able to get this path yourself.