MS Proxy 2.0 access denied

I am running a MS Proxy server 2.0 sp1, on an NT server 4.0, sp6a.

My IIS settings are to allow anonymous access only.

When an authenticed NT domain user tries to logon to that proxy server, he gets an “access denied” message.

Does “anonymous access only” work this way with users that present NT credentials? And, do I need to use both anonymous access AND NTCR?

Thanks,