I'm one of the top 30 coders on this site. I have build many systems using BHOs (word highlighters, search utils, URL monitors etc.). Recently, I did a project for Discovery Channel CDROMs, where the CDROMs were made to behave in a certain manner by plugging a BHO into the system (which also works on Windows Explorer, not just IE).
For your project, I can think of a solution where the BHO monitors the URL the browser is going to, and will prompt with a password etc. In order to authenticate, the BHO can establish an internal connection to your servers running the auth scripts. This would be a separate socket connection (I've used this concept earlier in an ad-based word highlight tool, where the word list was download in the background by the BHO using it's own internal socket connection).
If you were to read the feedback that my previous buyers have written about me, you will realize that I not only deliver good quality software, I actually use my over 17 years of programming experience to provide valuable suggestions to improve the functionality of a system.
Please let me know if you want me to provide some kind of a (no obligations) demo to you, so can check out my capabilities. I do all my work in Delphi, which creates very compact and efficient executables (DLL, of course, in case of a BHO). Please do let me know if that is acceptable to you.