Credential in SharePoint Site while opening each document

Once I log in using the credentials in sharepoint I need to do this for each document I try to open.

So click on a link to some document in SharePoint, input the credentials and it works fine but if I then try to open another document the same Windows Security window pops up.

I enter the credentials again the document opens but if I open another........................etc etc you get the picture I think.

I would like to know how can i get out of it without using the credential again and again.

Appreciate your response at the earliest.

Thanks

Regards, Shiny Joseph