What distro/version/desktop environment? I ask because different desktop environments may use different keyrings.
Keyrings are, for lack of a better term, password vaults. Passwords are stored in the keyring, and a keyring password is needed to access them. Ubuntu has a good article on keyrings.
http://askubuntu.com/questions/32164...s-a-keyring-do
Likely, your distro is asking for the password to unlock the keyring to access other passwords, but, in the absence of more information, that's just a guess.
Personally, I find keyrings annoying and obnoxious and avoid them whenever possible. I store my passwords in KeepassX.