If a website requires HTTP authentication, such as a dev site or staging server, you will need to add the authentication credentials via the Advanced Settings.
To get to Advanced Settings, you scroll to the bottom of the main Audit setup page and hit the grey Advanced Settings button.
The Authentication section is under HTTP -> Authorization:
Tick the box marked 'HTTP Authentication', then add your username and password in the boxes underneath.
Note that you may also need to over-ride robots directives (instructions on how to do that here).