Hi, I had the same problem, and searching for the web I tested 3 or 4 solutions, but nothing worked.
Finally, the simple thing and no one tells is this:
1.- Login into SQLServer (must have sysadmin role)
2.- Go to folder Security, and add new login. The Login -New windows will show up
3.- Select the Item "General", and click on buttom Search for Login name (The option Windows authentication must be selected)
4.- In the windows Select User or Group, click on button Advanced
5.- Verify the item "From this location:", it must have the name of your server e.g. SERVER_SQLSERVER
6.- Click on Find Now
7.- The list of all local users of the server will show up, select the user ANONYMOUS LOGON and click Ok.
8.- Click Ok, and the user ANONYMOUS now is added.
After doing this, the problem is solved.
I used this configuration:
ArcGIS Server 10 on Windows 7
SQLServer on Windows Server 2008 R2
I hope this help for you guys.
Regards.
Jose Miguel Zambrana.