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Access Denied Using MSXML

I have a VB6 backend for a classic ASP site. Then VB calls the web service on the same server using MSXML2.XMLHTTP. This works on all but one of our servers. If I set up a web service site to accept anonymous login, it will work, but if I force only the built-in protection to force, MSXML will return an Access Denied error.

I use the code from the example here.

Set objDom = CreateObject("MSXML2.DOMDocument")
Set objXmlHttp = CreateObject("MSXML2.XMLHTTP")

' Load XML
objDom.async = False
objDom.loadXML XmlBody

' Open the webservice
objXmlHttp.Open "POST", AsmxUrl, False

' Create headings
objXmlHttp.setRequestHeader "Content-Type", "text/xml; charset=utf-8"
objXmlHttp.setRequestHeader "SOAPAction", SoapActionUrl

' Send XML command
objXmlHttp.send objDom.xml

Edit: Following AnthonyWJones advice, I went to the checklist and it still doesn't work. Using Fiddler, it shows one request with a 401 response. The authentication tab displays:

No Proxy-Authenticate Header is present.
WWW-Authenticate Header is present: Negotiate
WWW-Authenticate Header is present: NTLM

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