EDIT in 2015:
This answer is outdated. WebDriver nowadays supports authentication! See How to handle authentication popup with Selenium WebDriver using Java
Original answer:
This is not handled very well by Selenium.
You can try using http://username:[email protected]/yourpage
instead of just http://example.com/yourpage
However, as far as I know, Firefox will still pop up a browser dialog requesting a confirmation.
You can try Robot if you’re using Java (or any similar tool like AutoIt).
You could use driver.manage().addCookie()
if you’re using WebDriver.
Or a custom FirefoxProfile that has already passed the authentication once.