I have a MOSS 07 site that is configured for anonymous access. There is a document library within this site that also has anonymous access enabled. When an anonymous user clicks on a PDF file in this library, he or she can read or download it with no problem. When a user clicks on an Office document, he or she is prompted with a login box. The user can cancel out of this box without entering a log in, and will be taken to the document.
This happens in IE but not FireFox.
Unfortuantly the only work around I've found breaks some functionality for logged in users (can't upload multiple files, connect to outlook ect..)
If that is acceptable, or you want to try it and see:
In central admin > application management > application security > authentication providers select your web app and select your provider (likely "default").
Select No for client integration and save the settings.
Open your web config, find the line add verb="OPTIONS,PROPFIND,PUT,LOCK,UNLOCK..... and remove the verb OPTIONS.
You should no longer be asked in ie for credentials.