Joomla "site offline" login misbehaving

I have installed the CB according to the instructions in the installation package.

Now when previewing site i click on any link it prompts me to log in over and over again.

What is going on and how to fix it?? Quite annoying i find it.. Also, is that going to affect the site in any way when it is online??

CB Installation should have nothing to do with this.