Recently upgraded a test machine to Internet Explorer 8. While testing a new deployment today found that hyperlinks created in my web application stopped working. The error icon on the bottom left of the screen said: "Cannot open an anonymous level security token"
The solution from a microsoft community site was to reset DCOM default properties to "Connect/Identify".
After rebooting and reopening the site in IE8 the links now work.
We tinker with DCOM on this test machine quite often and I found it with default properties of "None/Impersonate" - maybe impersonate causes a problem for anon access but I don't remember these problems with IE7. Hopefully this is not a sign the IE8 is going to "UAC" all over the system like Vista did.