Has the URL for your ALM environment been added to the Trusted Sites (or Intranet Sites) in IE for this user? I don't think missing that would cause this problem, but it is possible.
What are the security settings in IE for the zone that the URL is in? Are you trying to use an SSL configuration?
Do any other users have this problem? Does this user have the problem on any other system?
Have you recently upgraded to ALM 11 or installed an ALM 11 patch on the ALM server?
Have you tried clearing the user's IE cache? Have you tried using the ALM Client Uninstall utility to clean the system of all traces of the ALM Client?
What are the security settings in IE for the zone that the URL is in? Are you trying to use an SSL configuration?
Do any other users have this problem? Does this user have the problem on any other system?
Have you recently upgraded to ALM 11 or installed an ALM 11 patch on the ALM server?
Have you tried clearing the user's IE cache? Have you tried using the ALM Client Uninstall utility to clean the system of all traces of the ALM Client?
