how to set user prompt for login id and password for a sharepoint site is it a brower settings? or we have to perform any actions in sharepoint????

I think you would need to disable single sign on? We have it disabled here and it prompts you to log in each time you first access the site.

where to set that single sign on option?

It's in Central Admin under Operatoins ->Security Configuration. If you get a failed to connect error message, that means it's already turned off. You might want to wait though and see if someone has a better idea.