I just went into wd2go and tried what you are talking about, opening a word document. I had to use my Network User Name and Password/Key for it to work. After that the document opened and then I had to click the Edit Document at the top of the page to make changes.
Update: I have been playing with this some more and after trying to open an Excel document and having to enter my credentials again I noticed a security icon showing in my taskbar and clicked on it. It ask me if I wanted to allow changes made to my computer and I clicked yes, After that I got out of wd2go, disconnected and then opened wd2go again. This time when I clicked to open the Excel document it opened and did not ask for credentials.
Edited again: I tried again and this time when I tried to open a word document I had problems so I just clicked on the x a couple of times, the box went away and my document opened up. See image below.