There are several reasons why your are getting a pop-up box in your mail program, but in almost all cases you are either pointed to the wrong mail server or not entering the correct login information.
Make sure you have are entered your password correctly.
Make sure you are using your whole e-mail address when you log into your e-mail (email@example.com) , not just your username
Verify the server you are receiving mail from is mail.yourdomain.com (where yourdomain.com is your own personal domain name)
If you continue to have trouble, you may want to reset the password for your e-mail. This this article: