We had serious headaches over this...
Make sure you have the client components installed;
Set security  permissions for the files - if just one file is not permitted
it will screw up;
Set your client machines to use the browser network password  at logon;
Make sure you are coordinator level.

Providing you are within the domain  or have a trust relationship with the
server from one domain to the other you should be OK.

We also used API token generation/ impersonation protocols and this will
work too although you still have to set the browser to allow authentication
through the windows logon  (see the security settings  in explorer).

if the above is no use - give me more details - we have set up two
independent transparent logons from windows to sps  and from a web site to
SPS.