In TMG Logs and Reports, you get:
Status 5. Access is denied.
The Access is denied message occurs because the first time a website is contacted through TMG, it tries to do so anonymously. Access via the anonymous connection is denied and TMG will then try with authentication. This behavior is by design.
If you are still having trouble accessing a website in TMG, please post a new topic in the TMG forum and I will try to help you.