I found for most of WPM when dealing with "pop-ups" you have to be careful in explaining if its the browser presenting the popup or the recorder. With that I learned when using cert based authentication, when presented with the WPM recorder authentication "cert selection pop-up", I'd still have to wait for the Windows popup to finish loading. From what Support and the Developers said, if memory servers it has to do with WPM interaction with the browser cert store.
Additionally did you make sure to uncheck "Enable Integrated Windows Authentication" in IE?