>>Well, if anonymous access is allowed by the Web server and the directory is open to your Internet Guest User Account, check if you're not trying to use any other resource that may be blocked (some default document, for instance) or triggering some other service that lacks specific credentials. Just for testing purposes, put a static html document named test.html in your root folder and see if it is accessed properly by a direct GET (http://localhost/test.html).
>
>Yes, accessing index.html directly works.

I would say, then, that must be something to do with the ASP.NET process. Check http://msdn.microsoft.com/en-us/library/dwc1xthy.aspx and http://support.microsoft.com/kb/317012/en-us.