Hi, John, try this:
dlg = New Window(<<Modal, "Click OK when logged in", V List Box(Web Browser Box("https://company.sharepoint.com/", JMP Window), Text Box("Click OK when logged into Sharepoint")));
dt = Open("https://company.sharepoint.com/.../myfile.jmp");
The web browser box allows your system to handshake with SP and provide credentials to JMP.