Please Visit the PHP Manual Here.
It says "Also note that until PHP 4.3.3, HTTP Authentication did not work using Microsoft's IIS server with the CGI version of PHP due to a limitation of IIS. In order to get it to work in PHP 4.3.3+, you must edit your IIS configuration "Directory Security". Click on "Edit" and only check "Anonymous Access", all other fields should be left unchecked."
As well there is some additional information in there.
There is a link to the headers information, look here. You would set it from the command prompt via: (at the VERY top)
ini_set("cgi.rfc2616_headers",0);
If you are not the system admin and can not have the system changed from CGI to ASAPI, then you may want to try setting the INI directive, and see if the site admin will check the settings for your specific site to reflect what PHP is requesting.
Please, let me know if any of this helps...