Unfortunately, choosing ‘Anonymous Access’ when you create your Web Application isn’t enough to make Anonymous Access fully functional.

In your site, click on Site Actions/Site Settings. Under Users and Permissions, click Site Permissions. Once you get there, click on the ‘Anonymous Access’ button in the ribbon. Make sure that the radio button for ‘Entire Web Site’ is chosen. Once that is done, click OK and you’re good to go (whatever that means).