Tridion Profiling and Personalization error: The user cannot be null. please make sure the WAI is configured correctly

I have a ASP.NET page (index.aspx) using profiling and personalilzation published from Tridion 2011 SP1. It simply displays one dynamic component presentation and a second dynamic component presentation if the user has previously viewed 3 pages tagged (via cat+keywords) as 'golf'.

I initiated the profiling by adding the TBBs 'Target Group Personalization' and 'Activate Tracking' to my default finish actions. I republished the page and saw it create the dynamic cp's with the profiling code, all was going well:

<tridion:ComponentPresentation runat="server" PageURI="tcm:8-667-64" ComponentURI="tcm:8-668" TemplateURI="tcm:8-666-32"/>
<tridion:TargetGroup runat="server" ItemURI="tcm:8-667-64">
    <tridion:Conditions runat="server" Negate="false" Operator="AND">
        <tridion:Conditions runat="server" Negate="false" Operator="OR">
            <tridion:Conditions runat="server" Negate="false" Operator="AND">
                <tridion:Condition runat="server" Type="TrackingKey" Operator="=" Negate="false" Name="Golf" Value="3"/>
                </tridion:Conditions>
            </tridion:Conditions>
    </tridion:Conditions>
    <tridion:ComponentPresentation runat="server" PageURI="tcm:8-667-64" ComponentURI="tcm:8-663" TemplateURI="tcm:8-666-32"/>  
</tridion:TargetGroup>
<tridion:IncrementKey runat="server" ItemURI="tcm:8-667-64" Name="Golf" ComponentURI="tcm:8-663"/>

Problem: When I view index.aspx in my browser it gives me the error:

The user cannot be null. please make sure the WAI is configured correctly

I checked the broker DB and there was no data there. I believe my cm_wai_conf.xml file is configured correctly. I read this article that suggests the WAI uses the environment variable REMOTE_USER which I added to windows and still no luck. http://sdltridionworld.com/articles/UsingPandPinDistributedEnvironments.aspx

Has anyone experienced this error before and can help? I can provide my cd_wai_conf.xml file if necessary

Thanks in advance, your help is greatly appreciated, it's been driving me crazy!

EDIT: Added config file The XML would not render in StackOverflow so I've added it on PasteBin: http://pastebin.com/tHwqhwtq