You might want to check your Exchange Web Access settings. I've only got
myself an Exchange 2003 server at hand so the names and locations my be a
bit off.
Goto your IIS manger and goto Default Web Site-> Exchange. Rightclick it and
choose Properties. Goto the tab Directory Security and in Authentication and
access control press the button Edit.... Here you can select the option
Integrated Windows authentication.
Hope this helped or at least pointed you in the right direction!