Regarding HTTP authentication in IIS with the php cgi 4.3.4, there's one more step. I searched mightily and didn't find this information anywhere else, so here goes. When using HTTP auth with the php CGI, you need to do the following things:
1. In your php.ini file, set "cgi.rfc2616_headers = 0"
2. In Web Site Properties -> File/Directory Security -> Anonymous Access dialog box, check the "Anonymous access" checkbox and uncheck any other checkboxes (i.e. uncheck "Basic authentication," "Integrated Windows authentication," and "Digest" if it's enabled.) Click OK.
3. In "Custom Errors", select the range of "401;1" through "401;5" and click the "Set to Default" button.
It's this last step that is crucial, yet not documented anywhere. If you don't, instead of the headers asking for credentials, IIS will return its own fancy but useless 'you are not authenticated' page. But if you do, then the browser will properly ask for credentials, and supply them in the $_SERVER['PHP_AUTH_*'] elements.