Login requiring both user password and web server access.

I just installed WordPress recently and haven’t gotten all the kinks out. When my users try to log in, they enter their usernames, passwords, click log-in, and are then prompted to enter the WebDAV server access. I really want to refrain from giving people total access to my web server, so what’s the deal? I’m guessing that the login procedures are trying to modify some document in the /blog/ sub-directory on my server, but I don’t know which one. I assume it’s as easy as changing the permissions on a file to allow all users to read and write. No? Help me out please, I’m trying to get paid for this site, but until it’s fully functional I’m fully broke!