If you fire up the client andenter the wrong password to your account, it will fail to connect as it should, but the little connection/authentication popup box will never go away.. just sits on the desktop 'authenticating' with no way to close it.
If you ignore it, and again start the client failing to enter correct password, yet another dialog box will remain forever.
Hmm I heard about that from some other users too. I had it only once so far, so it won't be easy to find the cause. But nothing is impossible ;)
Its generally off a first start of the server and initial connection from a client is attempted. Or, the first attempt of a new client for the first time to the server.. Cant really narrow it down past that, but thats the only two ways its occured for me. (somewhat 50% of the time though) windows XP Pro fully updated.