IIS 6 and older versions:
1. Open the IIS, select the virtual directory and right click on it and select the properties.
2. Select the directory security
3. Click on Edit.
4. Uncheck the anonymous access.
Open IIS Manager and navigate to the level you want to manage.
1. In Features View, double-click Authentication.
2. On the Authentication page, select Windows Authentication.
3. In the Actions pane, click Enable to use Windows authentication.
If above fails, also check "Windows Impersonation"