Windows Authentication Passthrough - Connection String?

There is a SQL Server 2005 database that I need to connect with.  I can personally connect just fine, since ALL users are connected using WINDOWS AUTHENTICATION.  But a new Active Directory user was created, just for reporting purposes, and was given read-only rights to the database.  I would like to be able to connect to the SQL Server using that user.

I can do it using SQL Reporting Services, because it allows me to enter the user name and password, and then lets me check the box "Use As Windows Credentials When Connecting To The Database."  It works fine, so I know the permissions were set up correctly.

But I have been unable to create an ODBC connection using that user.  I can't get an OLE DB connection to work.  I can't connect using Crystal Reports XI or Crystal Enterprise XI.  I can't connect using a connection string inside of VB.NET.  In fact, the only connection I can make is using SQL Reporting Services.

Is there a way I can get a connection object (a UDL file, or an ODBC link)(or a VB.NET connection string)(or something similar) to connect to that SQL Server 2005 database, using a username and password as Windows Credentials?
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Windows Authentication allows for running under the context of the logged in user.  If you want to use alternate windows credentials, the user would have to login (or launch the app) under the user context of THAT user.

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It would be a fairly big security hole if under you Windows Authentication, you could just say "hey... shh... pretend I am this guy instead but don't tell anyone"
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Microsoft SQL Server 2005

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