Note: there's still no version of CKFinder released with these changes, but I have to write the explanation somewhere :-)
If you want to use CKFinder for Asp in an environment with Windows Authentication and use Asp.Net to handle the images, then you might need to perform a little adjustment on your side.
Overview: The Asp code of CKFinder calls an Asp.Net page on the same server, so if the server is using some authentication method, we must forward the credentials to this new request. This is done automatically by CKFinder when Basic authentication is needed, but for Windows Authentication we must rely on the configuration of the server as explained by Microsoft. How to forward the Kerberos authentication.
That's the idea, but surely you don't want to read too much, and you want something that works, ok, this post shows an easy way. If you just login to your server and run {{{proxycfg -d -p " " "*" }}} then the wizard should be able to run correctly.