You might need to check out the IIS configuration, and make sure that's set appropriately. I had some similar problems with one server about 10 days ago. Documentation is, typically, at work rather than here. However, here's some [documentation on authentication in IIS for SSRS that may be of assistance][1].
[1]: http://technet.microsoft.com/en-us/library/bb283249(SQL.90).aspx
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