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In FileMaker, if File A causes File B to open, it will attempt to use the credentials that opened A to open B. if this is successful, you do not see a log in dialog. If it fails, you do.
Thus, one option is to add the same accounts to the directory file as are used to open the other files. This is one reason some choose not to separate their solution into multiple files BTW, there are good reasons to use multiple files, but the security model is not one of them.
There are also ways to open the file with the same password for all your other users, but this can be a security issue that makes the sensitive data in your file easier to "hack":
File Options can set the file to open the directory file automatically with a minimum "read only" level account. Then the file opens for everyone with this setting unless you hold down the shift or option key while logging in.
An "opener file" could be set up to open the file for you with a low level access account. It would have the file option set to auto-login with credentials that match to what you want for opening the directory file.
Bug each of these options represent a degradation of your security.