It works correctly for private shares for me when doing the same thing.
On that username/password screen, I can enter the username and password of the user that I created within the dashboard of the EX4 and it connects (ignore the name shown in the domain box of the prompt).
It works correctly for me provided I have assigned the rights to the private share to this user from within the dashboard.
Can you login to your EX4 dashboard and verify if the share you created is marked private and has rights assigned to the user that you are trying to connect as from Windows?
Also try to make that share public and see if you can access it without password first and try copying some files to at least make sure everything else except the password is setup correctly.