Hey hey! That doesn't look like something that would be created as part of the normal cPanel or WHM interfaces. Have you tried using a different browser to see if the same behavior happens there?
That is an .htaccess style passworded folder login window. Did someone add a custom level of login security? I'm not sure where you would do this for the WHM / cPanel logins. Maybe directly in the Apache config files... or maybe there's a 3rd party WHM plugin installed that can do it.
