Bil Simser has now published a detailed blog item on Anonymous Access here so I've replaced my original text with this as this is I hope clearer.
(quotes and near quotes by permission - thanks, Bil)
His first step is to specify anonymous access for the "Web Application" (=IIS web site) and notes that you can either specify that in IIS or via the Sharepoint Central Admin page
- Launching Internet Information Services Manager from the Start -> Administration Tools menu
- Select the web site, right click and select Properties
- Click on the Directory Security tab
- Click on Edit in the Authentication and access control section
- First get to your portal. Then under “My Links” look for “Central Administration” and select it.
- In the Central Administration site select “Application Management” either in the Quick Launch or across the top tabs
Select “Authentication Providers” in the “Application Security” section
- Click on the “Default” zone (or whatever zone you want to enable anonymous access for)
- Under “Anonymous Access” click the check box to enable it and click “Save”
and the second step is to specify anonymous access for the web site
- Return to your sites home page and navigate to the site settings page.
MOSS: Site Actions – Site Settings – Modify All Site Settings.
WSS:Site Actions – Site Settings.
- Under the “Users and Permissions” section click on “Advanced permissions”
- On the “Settings” drop down menu (on the toolbar) select “Anonymous Access”
- Select the option you want anonymous users to have (full access or documents and lists only)
The above is the basics and should be enough to get this working. If it isn't enough, have a look at Bil's blog item which includes more explanations.