All:
I had a problem mirroring a password-protected site also.  I did not use the
same instructions Steve mentioned, instead I just typed my login and password
into the "Login" and "Password" textboxes that appear on the "Insert URL"
dialog.  When I clicked OK, the URL appeared in the "Web Addresses (URL)"
listbox, but it was messed up.  Instead of it being in the format
login:password@URL it was in the format password:password@URL.  Once I
corrected the format, I was able to mirror the site without a problem.

Xavier:
Since you're the interface guy, you might want to think about fixing this
nasty, yet easily correctable bug.