You are almost certainly running into the
Windows loopback check that was introduced with IIS 5.1. This is a security
feature to avoid certain types of reflection attacks against the system.
Microsoft has a KB article describing
workarounds. They basically boil down to modifying the registry to either
disable the loopback check, or to allow certain hostnames (e.g. your local host
name or site name) to back-connect.
You can quickly disable the check via
PowerShell: