Here is what I do in order to use Windows security:
1. Set up IIS to use the domain account you have set up as the anonymous
2. Set up ASP.NET to impersonate, so it will use this domain account. Just
add <identity impersonate="true"> to web.config
3. Set up permissions for this account on the SQL Server
4. Start using Windows Security
If you have any components that you access, don't forget to give the domain
account access to them as well.
I do this for Forms Authentication - I assume it is similar for Windows
Authentication, but can't ...