One of my colleagues helped me, and now I feel like an idiot!
In IE8, in the authentication popup you first want to log in as a user of your domain, but you also have the option to "Use a different account." When you click this option, your local domain is displayed below the text, for example, "Domain: LOCALDOMAIN". And when you start typing "MYDOMAIN \ xyz" in the username field, it changes to "Domain: MYDOMAIN"!
Just like that!
You will need to enter the domain name in ALL CAPITALS, otherwise it will not occupy it
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