Windows Integrated Authentication

Hi,
What's happening is when windows authentication/authorization fails the user get's a login prompt in IE6, IE7 and FireFox.  Only when user clicks Cancel button in login prompt they are getting to 401 error page.  What I am trying to achieve is to automatically redirect the user to a custom error page when getting 401 error instead of getting login prompt.  Is this possible to suppress the login prompt in this scenario or is it this way by design?

Here is my setup:

I have windows integrated authentication configured in asp.net 2.0 web app.
<authentication mode="Windows" />

I am using role based authorization
<system.web> <authorization> <allow roles="xxxx"/> <allow roles="xxxx"/> <allow roles="xxxx"/> <deny users=& ...