This is not about file permissions / file sharing on your server, but about what authentication the ASP.NET framework demands when a web client makes an HTTP request to the IIS web server running your ASP.NET site.
See
http://msdn.microsoft.com/en-us/library/532aee0e.aspx[
^] for details of the authentication modes available.
This is about the <authentication> tage in line 46 of your web.config file (which should be in the <configuration><system.web> section of the web.config).
If you don't want to get the ASP.NET user / password form, you probably want either:
Windows authentication - in which case ASP.NET will use whatever authentication method (if any) is specified in your IIS management console, including allowing anonymous access if appropriate, or
None - which does exactly what it says (and leaves you free to do whatever you want for yourself in your own code)