I have a MOSS 07 site that is configured for anonymous access. There is a document library within this site that also has anonymous access enabled. When an anonymous user clicks
If Sharepoint Shared Workspace is enabled in MS Word this may prompt users with a Windows login if users do not have permissions to access or create a Shared Workspace. Do the followoing to turn this off:
If this resolves issue repeat steps with every MS Office program to eliminate the prompt. (Excel, PowerPoint, Visio, ect)
http://office.microsoft.com/en-us/word/HP010414641033.aspx