ISAPI filter on SPPS

I have installed ISAPI filter on IIS6.0 for SPPS running on the same
machine. The filter I have installed is on the "web sites". Now when I
access the SPPS main page, I get ISAPI filter authentication prompt and
I am able to login successfully. SPPS is installed on default web site
and I have enabled Anonymous login for the default website.

SharePoint central administration site is under "web sites" running on
different site than the one on which SPPS is installed. (SPPS created
new virtual site for central admin site). Security mode of the central
administration site is IWA. Whenever I am trying to open central
administration I get IWA prompt and I am able to login successfully but
now if I click on any link on the SPPS portal page or try to access it,
I am gettign SPPS error message "access denied".

If I move my ISAPI filter one level down to default website (SPPS site)
then everything works fine.

Can anyone explain this behavior?

Thanks in advance
Ganesh Tambat