In IIS 6, you can start the IIS manager by typing the inetmgr at the Start->Run windows, and click on the web site, Right click on the web site, go to the directory security, you will have windows authentication check box to click.

In IIS 7, it is not the case. Windows Authentication is not installed by default. You need to explicitly install it by going to control panel/turn windows feature on/off. Go to the IIS\world Wide Web Services\Security, and check the windows authentication box to install it.