This tends to be an issue effecting Windows 9x/me. Your pc clearly thinks its on a network which may or may not be the case and is looking for network authentication.
Depending on your network setup, operating system and Outlook version there are various fixes.
The first thing to try would be hitting escape/cancel which sometimes will bypass this.
If you are not on a network then go to Start, Settings, Control Panel, Network, Click Client for Microsoft Networks, Properites, and uncheck Logon to Windows NT domain. Alternatively you may need to remove the Client for Microsoft networks if you do not plan to have a local nework. (the navigation may be different depending on your operating sytem version).
Also you may have to change the Primary Network Logon to Windows Logon. (Start, Settings, Control Panel, Network).
If you are connecting through another machine then you may have to set up a user account in the other machine.