yes you can change the Auth on just individual files.
In IIS 7, go to the virtual directory in Inetmgr.exe.
Click on Content View at the bottom of the screen. Click on the individual file and then click Features View.
The file should be selected, and now you can set the auth on individual items.
Set the auth to Anonymous on all the .ASMX files.
In IIS6, just right click on the file in InetMgr and select properties. Under Direcotry security you can set auth to Anon.
rob