Hi cdg,
First of all, this is not an asp.net forum so maybe you will not get a lot of answer but "User.Identity.Name" is the right way to get the user's identity.
If you get nothing using this, the cause may be the settings of your IIS server.
You need to navigate to your application (in inetmgr) and modify the Authentication to enable Windows authentication. Do not forget to disable "Anonymous authentication".
And take note that the "User.Identity.Name" is not available when using the Visual Studio built-in IIS server.