in the auth setting, there is an entry called proxy realm, where you enter a bit of text (not too much though). This might be what youre looking for.
there is not too much we can do about those popups, as they are generated by the OS. When you say you "saw this" at BlueCoat, is it possible that this is simply the "Realm" which can also be configured on MWG? It looks like this (Firefox):
Look at the "Ausgabe der Website" ("Output of the website"). This is a text I entered into the "Realm" of the Authentication setting.
Edit: Michael was quicker... but I have a screenshot!