Well, that didn't work, but I checked in the event log and found that if I use the local administrator password and the wrong password it will log four bad attempts.  If I use the administrator password and the correct password it logs a successful authentication attempt but takes me back to the login page.

Then, just for the fun of it, I tried connecting with Firefox.  Amazingly enough, it worked fine authenticating with both the local administrator account and a domain account.  So, I figured the issue was with IE, but that didn't make sense because I've tried connecting from 2K, XP, Server 2K, and Server 2K3 and if none of those worked there would have been a lot more messages like this one posted.

Then it hit me, this server has an underscore in its name, so I used IE and browsed to the IP instead of server name and it worked fine.  I added a DNS entry to use the same machine name but with a dash instead of an underscore and it worked fine.  So, I guess it's an issue with underscores in the machine name and IE unless I'm missing something else.

Thanks for helping me reach an explanation.