http://www.yuvalararat.com/2006/06/sharepoint-server-2007-anonymous-access-howto/
1. Enable anonymous in IIS
2. Enable anonymous in SharePoint admin site
3. Enable anonymous in target SharePoint site.
In Central Admin/App Management/Authentication Providers, click on your provider. There is an option for "Enable Client Integration". If it is set to no Connect to Outlook does not work.
http://msdn.microsoft.com/en-us/library/bb977430.aspx#MOSSFBAPart3_IntegratingWithOffice2007
http://social.msdn.microsoft.com/Forums/en-US/sharepointadmin/thread/7eb091ee-0253-4df5-bbb1-749dab8c332f