You seem surprised. If you had downloaded, studied, and fully
understood the Access Security FAQ from microsoft.com you wouldn't be.

Workgroup security is an advanced topic. You just can't guess at it.

-Tom.

It's not likely what you want, no.

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.

Once you set a password for the Admin user, the login is no longer silent and you get the login prompt.

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.

You can use wrkgadm.exe to rejoin the system.mdw file as your default.

You can use wrkgadm.exe to switch between different mdw files(tedious) or use a desktop shortcut just for your secure mdb.  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.

The target would look like
"path to msaccess.exe\msaccess.exe" "path to your db\db1.mdb" /wrkgrp "path to your mdw\secure.mdw"

The security FAQ is available for download at
http://support.microsoft.com/?id=207793

I assume that you started by creating a new mdw, and didn't just start adding groups/users, etc.  If you didn't create a new mdw, then you've missed a critical step and will never secure your mdb.