Internet Explorer settings control how you authenticate to CRM. Normally it will be Windows authentication so that whoever you are logged in as to Windows will be use to login to CRM. It is possible to make IE ask you who to connect to CRM as and you may have done this and remembered the username/password that you chose. You need to look at Internet Explorer Security settings for the zone that the CRM web has been allocated to - this may be Local Intranet, Trusted Sites or Internet. Click on custom level and then scroll to the end of the settings list to review your settings.
Let me know how you get on.