If you see an authentication dialog pop up for non-protected Web Connection DLL or script links it most likely means one of the following:

• No Scripts and/or Executable Access for the Virtual Directory
  Make sure you set the permissions in your Virtual directory to allow Scripts and Executables. Depending on where wc.dll is installed only this directory requires Scripts AND Executables. All other directories only need Script rights.
  

• IUSR_ is not included in directory rights
  Make sure the Anynomous Web Users (Internet Guest Account or IUSR_<yourmachine> usually) is included in the File system rights. This account will need to have Read/Execute rights in any directory it wants access to Web Content. The exact account name depends on your Web Server configuration - you can find the account on the Directory Security | Authentication and Access Control page.

  Usually this latter setting is not required, especially if you are installing into the server's Web application tree (ie. \inetpub\wwwroot) because this tree has automatically enabled the Anonymous Web account. If you install outside of this tree however you're responsible for setting the permissions.
  

The Web Connection Setup, New Project, New Process and Configuration Wizards all automatically apply these settings for IIS.