There are two lines that list "Authentication" in them, make sure you get the right one.  I keep confusing the two myself...

Is your website showing up as an "Intranet" or "Trusted" site?

I struggled with the same issue for way too many hours. In the end, the only way that I got it to work was to write my own code, which is below. It works perfectly now. If anyone knows of a better way to automatically login someone to the site without asking the user to click on a link to "windowsSignin.aspx" please let us know.

Paste this code in your global.asax.vb file and recompile your solution:

Private Sub Global_EndRequest(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.EndRequest
            Dim ps As DotNetNuke.Entities.Portals.PortalSettings = DirectCast(Context.Items("PortalSettings"), DotNetNuke.Entities.Portals.PortalSettings)
            If ps IsNot Nothing Then
                Dim tbinf As DotNetNuke.Entities.Tabs.TabInfo = ps.ActiveTab
                Dim mUser As DotNetNuke.Entities.Users.UserInfo = DotNetNuke.Entities.Users.UserController.GetCurrentUserInfo
                If mUser.UserID < 0 And _
                    InStr(Request.Url.OriginalString.ToLower, "ctl=logoff") < 1 And _
                    tbinf.TabName <> "Login" Then
                    Dim sCurrentPage As String = Mid(Request.PhysicalPath.ToLower, InStrRev(Request.PhysicalPath, "\") + 1)
                    If sCurrentPage <> "windowsSignin.aspx" Then                       
                        Response.Redirect("http://" & ps.PortalAlias.HTTPAlias & "/desktopmodules/authenticationservices/activedirectory/windowsSignin.aspx")
                    End If
                End If
            End If
        End Sub