Hi Jean,
Can you be more clear on when you get the password? I take it you are logged in as yourself and running RSRT using the "Execution as" function in RSECADMIN but do you get the prompt as soon as you run RSRT or when you execute the query itself?
As a start I would set up an authorization trace on the user in ST01 then log in as the user and try to run the query through RSRT to see if anything comes up in the authorization trace. Doing this will also determine whether you get the password prompt when logged in as the user or if it's just when running as the user in RSECADMIN.
Kind Regards,
Gareth