You need to check that Windows Authentication is enabled for your IIS web site. You have to perform this task to all crawl servers.
For IIS 7:
1. Click Start -> Administrative Tools -> Internet Information Services (IIS) Manager
2. Click Sites
3. Select your anonymous site
4. Double-click Authentication under IIS-section in the Features View
5. Select Windows Authentication and click Enable from the Actions-pane on the right side of the window
For IIS 7:
1. Click Start -> Administrative Tools -> Internet Information Services (IIS) Manager
2. Click Sites
3. Select your anonymous site
4. Double-click Authentication under IIS-section in the Features View
5. Select Windows Authentication and click Enable from the Actions-pane on the right side of the window