http://support.microsoft.com/?id=258063 All you need to know, let me know how it goes.
I would love to rewrite this lovely article and take credit but that's cheating. I have fallen in the hands of this issue myself but this article was a life saver I keep it in my bookmarks under IIS solutions lol.
Let's get this straight you have I am presuming a windows server 2003/2003 r2 box or xp machine with IIS6.
Before we dig deeper check the following out make sure you have setup a new site in iis6, pointing to a folder in
C:\inetpub\wwwroot\, if not there pointing to
C:\Program Files\SomeFolder is fine you will need make sure folders have the following permissions:
Inetpub\wwwroot (or C:\MyOwnFolder) Administrators Full control
Inetpub\wwwroot (or C:\MyOwnFolder) System Full control
Inetpub\wwwroot (or C:\MyOwnFolder) IIS_WPG Read, execute
Inetpub\wwwroot (or C:\MyOwnFolder) IUSR_MachineName Read, execute
Inetpub\wwwroot (or C:\MyOwnFolder) ASPNET Read, execute
Now you should look into your IIS settings.
How to un-configure Authentication in IIS
Start IIS Manager or open the IIS snap-in.
Expand Server_name, where Server_name is the name of the server, and then expand Web Sites.
In the console tree, right-click the Web site, virtual directory, or file for which you want to configure authentication, and then click Properties.
Click the Directory Security or File Security tab (as appropriate), and then under Anonymous and access control or Authentication and access control, click Edit.
Click to uncheck all options next to the authentication method or methods that you want are currently checked, and then click OK.
Click to check enable anonymous access
Make sure username is set to MACHINENAME\IUSR_MACHINENAME obviously replacing MACHINENAME with the name of your server/machine.
IUSR is a built in account it should automagically authenticate it's self
Source: http://support.microsoft.com/kb/324274 ( this article is the opposite of what I just showed you to do )
Try all this if does not work I will give some further steps, there are a billion and one things you can check.