Access ships with system.mdw and security is already implemented whenever
you use Access. For all databases, it uses this system.mdw file and
silently logs you in as the 'Admin' user which has full privileges.
When you create a new mdw file, Access makes that the default one to use.
This is why you are getting the login for all databases.
Once you set a password for the Admin user, the login is no longer silent
and you get the login prompt.
You can use the workgroup administrator (Start, Run, wrkgadm.exe in 97 and
2000; Tools, Security, Workgroup Administrator n 2002) to rejoin the
system.mdw file as your default.
To open your secure database, create a desktop shortcut. The target in the
shortcut can use the /wrkgrp switch to tell Access to use a different mdw
file for this session. Leave your default mdw as system.mdw, and it will
use it for all other sessions.
The target would look like
"path to msaccess.exe" "path to mdb" /wrkgrp "path to secure mdw"
The security FAQ is available for download at
http://support.microsoft.com/?id=207793