Try this - after logging into the SAS Portal, search for and open the webdav file. Once opened, use the Internet Explorer menu (File -> Send -> Link by Email). This will open an email message on your machine with the URL. Use this URL in a SAS Portal URL Display Portlet - then authentication will not be requested again.
(You still have to log in once - to the SAS Portal. But then the file is available immediately, without having to reauthenticate to the WebDav server.)