I believe you have to tell IIS what user and password to use to access the folder, even if it's set for anonymous access.
Here's what MS says: note points 9, 10,11 and 12Log on to the Web server computer using an account that has administrative privileges.
Click Start, point to Programs, point to Administrative Tools, and then click Internet Services Manager.
In the Internet Information Services window, expand * server name (where server name is the name of the server).
Right-click the Web site that you want (for example, Default Web Site), point to New, and then click Virtual Directory.
On the Welcome to the Virtual Directory Creation Wizard page, click Next.
On the Virtual Directory Alias page, type the alias that you want (for example, Sales), and then click Next.
On the Web Site Content Directory page, type the UNC path to the remote folder that you have created (for example, \\Server\Share), and then click Next.
On the User Name and Password page, type the user name and password that has sufficient privileges to gain access to the remote folder.
NOTE: To maintain the highest levels of security, use an account that has the minimum permissions that are necessary to provide access to the remote content.
Click Next, re-type the password that you used in step eight in the Confirm Password dialog box, and then click OK.
On the Access Permissions page, click to select the check boxes of the permissions that you want to set for the virtual directory.
By default, Read permissions and Run scripts permissions are already selected. For example, if you want to allow users to change the content in the virtual directory, click to select the Write check box.
Click Next, and then click Finish.
