Windows auth

Dear All,
After a couple of days berwilderment I have discovered the following.
I'm sure this has changed with framework 1.1.
On IIS we have been using Windows authentication but now it doesn't appear to work. After a bit of research I find that in the config file it now says ;

"Windows" IIS performs authentication (Basic, Digest, or Integrated Windows) according to
its settings for the application. Anonymous access must be disabled in IIS.

The last bit I'm sure is new - "Anonymous access must be disabled in IIS."
I shouldn't think switching this off in IIS is a useful idea. Has anyone else come across this and can suggest a solution?
Many thanks,
John.