Call Web services and in replay get authentication error

Little Background: I confirmed with dev that authentication is code level not server (IIS 8.0) level. 

                                       Method: GET

                                        Response: JSON

                                        Dev team provide Authentication key 

Following are the steps i did:

1. Make script with web_custom_request and method=GET

2. Add header for authentication key

3. Replay the script

4. Get Authentication error 

Action.c(3): Warning -26547: Authentication required, please use web_set_user, e.g. web_set_user("domain\\user", "password", "host:port"); [MsgId: MWAR-26547]
Action.c(3): Warning -26630: HTTP Status-Code=401 (Unauthorized) for "http://XXXXX.com:port/xxxx/xxx [MsgId: MWAR-26630]

Note: There isn't any server level authentication so there isn't any UID/PWD for server. I am getting that why i have to insert web_set_user() fuction. 

Any help would be really appreciated. Please help me ASAP.