Another MDS installation glitch (see here for more). If you create the MDS web application website using the MDS Configuration Manager (using the “New” option in the list of web sites), it may fail to set up IIS authentication correctly. The first time I created the site this way it seemed to work; the second time it failed.
Solution: Run IIS manager, select the site, go to IIS Authentication, disable anonymous authentication, and enable Windows authentication.
Update (later that same day):
Oops, that didn’t quite work. It enabled the main website, but I couldn’t connect to the web service using the Excel add-in due to further IIS authentication problems.
To solve that problem, I deleted the MDS web site in IIS, keeping the application pool, and created a new one (with a virtual root of “C:Program FilesMicrosoft SQL Server110Master Data ServicesWebApplication”). I then ran the MDS Configuration Manager and configured the web application using the now-already-existing IIS site. Now it works.