I've got the same issue with my Exchange 2010 server as well/. Initially after going through a number of posts I found two potential issues;
1. That is was a language selection issue and I had to reset the site back to the language selection 0 (default)
2. That is was because I had migrated the mailboxes from Exchange 2003 and not created them natively in 2010.
Both of these were incorrect however as the language change didn't change a thing, and using a natively created mailbox didn't either.
Just trying to help by ruling out possibilities.
But it looks to be the "ecp" directory that is accessed when the user selects "Options" in OWA. Changing the authentication settings on this didn't seem to work for me either as it just prompted the user for a username/password even though they had already logged in.
The weird thing is - it used to work!
