This username can be stored locally on the PIX, or on a separate Radius or TACACS server. Check your PIX config and you'll have something like this:
crypto map client authentication
AAA-server protocol tacacs+
AAA-server (outside) host 172.18.124.111
The "tacacs+" could also be "radius" or "LOCAL", depending on where you want to store your usernames. If you want to store them locally on the PIX, just do the following:
AAA-server protocol LOCAL
username password
You can have as many username commands as you have users.
Of course if you don't want to do any user authentication (not recommended), then do:
no crypto map client authentication
and you won't be prompted at all. This is inherently insecure though, if someone steals one of your laptops with the VPN client on it they'll have open access to your network.