I have an exe (VB) that basically performs updating and table inserts. 
Currently, a user would simply double click the exe to execute. 

Now I want to call this from ASP.  When I do so, my log file (which is
created w/in the exe) says that 'Login failed for user '(null)'. Reason: Not
associated with a trusted SQL Server connection.'

Now my db connection string in the exe is set to use Integrated Security. 
Within IIS, I'm using anonymous access with 'WebUser' as my username.  I
granted this user full control under security for the exe.  Again, if I
simply double click the exe and run it, all is well.  But calling it from the
asp page gives me the login failed response.

Full control of what?  You need to grant 'WebUser' the appropriate access in
SQL Server  to SPs and/or other objects that the Exe may modify.

Also it would be better if you moved all this to a DLL and create a EXE to
call the DLL.  Then simply use the DLL from ASP rather than launching
another process to do the work.

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