For IIS Express
You can set it up here. You may also wish to disable anonymous access

For IIS
I found it was necessary to set this under system.webServer
<system.webServer>
[…]
<security>
<authentication>
<anonymousAuthentication enabled="false"/>
<windowsAuthentication enabled="true"/>
</authentication>
</security>
</system.webServer>
This does almost the same thing as the @Dimitar suggestion - use IIS Manager to change the setting. The difference is that the config file avoids a manual step - but adds this next one:
Note:
By default, IIS Feature Delegation locks some of those settings (Basic & Windows auth), so you'll need to go to the root of the IIS server, and enable those to be read/write. E.g.:

A more detailed description of accessing Feature Delegation is here.