>>>I have found advice on line that this is a user security issue, and that I need to set file permissions, but I never had to do that before (I used to have IIS working, but had re-formatted and re-installed everything on this PC). If I check the Directory Security for the default web site I see Anonymous access is allowed for IUSR_MyMachine Name.
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>>>Can any IIS/Reporting Services person talk me through this, please?
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>>Did you already set Windows permissions on the home directory? IUSR_MachineName must be granted read permission (at least) to the Windows folders you'll use, if you require anonymous access.
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>Isn't that the same thing as the Directory Security? I've also tried right clicking on the folder (inetpub\wwroot) but have no access to any security options there.

In IIS Manager, right click on the web site or on a specific folder and check Permissions to set what you need.