On a brand new Win 10 computer, where the user logged in with a Microsoft account during setup instead of creating a local account, this message appears when trying to map a network drive.
I went to the credential manager and created the credential for the network address as usual.
Then, when trying to connect to the remote computer, when this window pops up asking for credentials, I put the name of the remote computer and a backslash before the user name.
e.g. \remote-host\dave
or \192.168.1.2\dave
Then, the password as usual.