on your local machine, are you prompted to provide credentials? If not, the issue may be an Internet Explorer setting.
I'm seeing a lot of IE settings where the User authentication for the browser is set to Automatic Login either in the intranet zone or for all zones.
What you want to do is change the setting to Prompt for user name and password.
Here are some screen shots:
Change to Prompt for user name and password for Internet, Intranet, and Trusted Zones Custom Level. Clear history and try again. Keep in mind Chrome and Firefox use these settings as well, so even if you aren't using IE, you need to change through Internet Control Panel.
I recommend turning off allow anonymous as well before testing.