Problem: In a SharePoint site published in the Internet as anonymous, opening Office Documents in Internet Explorer prompts for password. Pressing the Cancel button opens the file.
Solution: You can check the solution in http://www.objectsharp.com/cs/blogs/max/archive/2008/04/21/enabling-anonymous-access-on-moss-2007-wss-3-0-web-applications.aspx. We implemented it but after a while (may be weeks) the problem rose again. Trying to implement the same solution again did not work.
Our environment uses Microsoft ISA Server 2006 as firewall so we configure the http filter on the web site publishing rule so that it do not allow the verb OPTIONS. After that, the problem was solved. Using this approach, our internal users can still use the advanced features that are disabled when you implement the solution in the link above and our external users can open the files without the prompt.
