Have a restricted folder for anonymous users inside a restricted folder for a user (not anonymous)
Browse to the folder and login as the user, then browse to the anonymous folder and when prompted for a username press enter (or ok) without entering a username.
You'll notice you just accessed the folder and are not logged in anymore. Press the login button and login using the first username.
I was only able to achieve this in FireFox.. but still.
See the attached image for the result: