Python can do:

Connect to an MS SQL database with integrated security (sample from a TurboGears aplication, using SQL Alchemy + Elixir + pyodbc):
sqlalchemy.dburi="mssql://<server name|named instance>/<database name>?sspi=true"

Next step: run TurboGears behind IIS in order to use Integrated Windows Security.
Even further: investigate if IronPython fits somewhere.