During a recording NeoLoad uses the Windows credentials sent by the browser. So the authentication is usually transparent during the recording.
Nevertheless in the post recording wizard you should have had a panel related to that authentication process. The credentials are then stored at the server definition level in NeoLoad.
So if you would like to change them you just need to configure them at the server definition level.
Be carefull if it's a Kerberos authentication mechanism that is used you have to configure NeoLoad accordingly.
For more information please look at the NeoLoad documentation here