One of the most by far annoying errors in Vista I have come accross, presenting you with next to no information as to why you get the message or why you arent presented with a Username & Password dialogue.
So if you find that connecting one XP or Vista machine to another Vista machine brings up the above message for you, this will almost certainly solve that issue and within 30 seconds too!
Simply enter a command prompt and copy and paste the three commands below, line by line.
net user guest /active:yes
ntrights +r SeNetworkLogonRight -u Guest
ntrights -r SeDenyNetworkLogonRight -u Guest