Sql-server – SQL Server Login attempts fail when using SSMS but succeed when using SQLCMD

My answer... From my comments:

The issue was that the server was set to "Windows Authentication Mode" only. To fix this I

1. Right click the server - > Properties
2. Click "Security" in the left side of the "Server Properties" dialog
3. Changed server Authentication to "SQL Server and Windows Authentication mode"
4. Clicked "OK"
5. Restarted Associated services. At first I forgot to restart the services, so I was still getting the error, but now I am able to connect without an issue. This was very helpful: http://support.microsoft.com/kb/555332

This account seems to allow login for every people that are in my domain

That is actually incorrect. It allows access to anyone that cannot be authenticated. Members of your domains will successfully authenticate and they will be rejected.

On a serious note: there is absolutely ZERO reasons to have this login enabled. It was added intentionally to your system by somebody, this is not a default configuration. If I'd venture a guess, it would be that somebody tried to configure integrated authentication with impersonation on a web application and did not understand the requirement for 'double hop' constrained delegation. Needless to say, the 'solution' is a huge security hole that requires immediate action. You need to identify the application that uses this login and fix the authentication as appropriate (the link contains the primer on how to set up constrained delegation).