authentication – Unable to map SharePoint folder or access it via an Excel macro unless SharePoint is open in Internet Explorer

I posted a similar question on Stack Overflow a while ago, but didn’t get any responses so far so thought I’d try here.

Basically, I’m using an Excel macro to download a few files stored in a SharePoint folder. I’m one of the owners of this SharePoint site. If, the moment I run the macro, I have the Share Point site open in Internet Explorer – the macro will download the files OK. If I don’t have it open in IE, it won’t download. IE is NOT my default browser, never has been. SharePoint is in my trusted sites, always has been.

The same with mapping a SP folder – I need to open the SP site in IE before I can map it as a local drive, otherwise, I am getting an error saying I am not authenticated or don’t have it in my trusted sites.

Having the site open in any other browsers makes no difference.

Would really appreciate is someone could enlighten me on what is causing this and how can I fix this?