В какой момент? Или вы запускаете программу с уже открытым коннектом?

Set LoginPrompt to true to provide login support when establishing a connection. LoginPrompt controls two things: the occurrence of the OnLogin event, and the appearance of a default login dialog that prompts users for a name and password when you include DBLogDlg.hpp in your unit (C++) or add DBLogDlg to your uses clause (Delphi). When the OnLogin event occurs and when the default login dialog appears depend on the type of connection component:

For TDatabase, TIBDatabase, and TSQLConnection, the dialog appears after the BeforeConnect event and before the AfterConnect event, unless you supply an OnLogin event handler. If there is an OnLogin event handler, that event occurs in place of the login dialog, and there is no need to include DBLogDlg.hpp in your unit (C++) or add DBLogDlg to your uses clause (Delphi). If correct values for the user name and password are not supplied in the dialog or by the OnLogin event handler, the connection fails. The OnLogin event does not fire unless LoginPrompt is set to true.