Thanks for reply. This is not the case. Please note that SSO is NOT enabled.
Web application has regular login/password fields to enter the password, however gateway probably detects something (kerberos, ntlm etc) and gives this screen as in the screenshot. It would all be fine if it accept properly username/password, however I fail to login while going directly it works fine.
That's why I want to "disable" this feature for particular application in order to identify which step is causing problem.