Following the links in the comments provided by Biju jose and vonPryz
Understanding Built-In User and Group Accounts in IIS 7
Configure ASP.NET Impersonation Authentication (IIS 7)
we were following these steps:
To grant an anonymous account rights on the network by using IIS Manager:
Click Start, type INetMgr.exe, and then click Enter. If prompted, click Continue to elevate your permissions.
In the Connections section, click the + button next to the name of your computer.
In IIS Manager, double-click the site that you want to administer.
In the Features View, double-click Authentication.
Select Anonymous Authentication, and then click Edit in the Actions pane.
In the Edit Anonymous Authentication Credentials dialog box, click the Specific user option, and then click Set.
In the Set Credentials dialog box, input the user name and password desired, and then click OK.
But instead of doing the number 6 we just changed the setting to
Application Pool Identity as you can see on the second picture below.
Changing the IIS settings to
Application Pool Identity allowed the Windows Authentication to kick in and the active directory account was used to login into sql server.
That account had been previously configured to do so, therefore no more login problems for that user.
I would add that: Is “NT AUTHORITY\ANONYMOUS LOGON” login “mandatory”?