The pop-up asking for FTP detail is because an option, under 'More options...' called 'Orphan files' is checked. Clear the check box and the pop-up will stop.
After you run the link check tool on the site right click on the listing of reported errors. Each URL will reveal a single page or a listing of pages that the error has occurred on. You may have to scroll if the list is large.
Ann Smarty has written several good articles about Xenu usage. Worth looking up. The Xenu Wikipedia page at 'Xenu's_Link_Sleuth' has a Reference section of many links too.
The author has a Yahoo! support group at 'tech DOT groups DOT yahoo DOT com/group/linksleuthupdates/' In that group is a beta version tailored for huge sites. After you have tried the obvious posting a question there will get an answer. The tool's author usually answers in a day or so.