Integrated Windows Authentication Problem

I have a weird problem with IIS and Integrated Windows Authenication that has me stumped.

Hardware/Software Config
Server - Windows 2000 Service Pack 4
IIS 5.0
Windows 2000 Domain

Goal
Our intranet has a portal that is setup in IIS as a Virtual Directory. Within the site is another folder, drawings, that holds an ASP web page to plot AutoCAD drawings. The ASP page is just a simple page that calls an ActiveX dll. The ActiveX dll basically searches a directory on our network to find a file and, if found, creates a flat file and stores it else where on the network for AutoCAD to suck up. The drawings directory needs to be accessible by domain users only, for security purposes.

Problem
In IIS, on the drawings folder, I set the authenication method to Integrated Windows authenication only. Then open the ASP web page with IE 6. The page authenticates me correctly (as a domain user domain/username), but, when I execute the dll file to search the network drive it fails. I am assuming it fails on authentication to the network, but, I am not getting any error message that confirms this.

HOWEVER!!! This is why I am stumped. If I uncheck Integrated Windows authentication and check Anonymous access and put my domain username and password as the anonymous user, the dll does not fail and is able to find the drawing file just fine.

So my question is why would anonymous access work with my domain username but when I use Integrated Window Authenication it does not?

Are you using a domain user account with integrated authentication? Maybe when you log in directly you are using a local user account to the web server.