In IIS, on your web site or virtual directory, go to properties. Then under the "Directory Security" tab in the "Anonymous access and authentication control" frame, click "Edit...". You'll then be in the "Authentication Methods" dialog box. Uncheck "Anonymous access" and check "Integrated Windows Authentication". As long as that server is a member of the active directory tree you should be able to use the normal active directory users for authentication. If the request is being made from a machine in the AD tree running IE you might not even get the authentication dialog box. IE will recieve the authentication challenge and send the current user as its response and the authentication will pass. If it fails then you would get the authentication dialog.
Security is always a tricky beast so you may have to play around with things to get it all to work right.