You might look through a few articles like this to check your setup.

There's also a white paper our on Publishing Performance Point Server in an Extranet Environment that also applies to Sharepoint Server.

You don't give much details on your setup.

Here's a very Rough outline -

Servers and Service Accounts (Domain Account, not Local) need to be allowed to delegate.

SPN's need to be setup - takes Domain Admin.

If a web site is involved, this will need SPN's setup too.

http://support.microsoft.com/kb/319723

I also find setting this registry key on all machines helpful.

This forces Kerberos to use TCPIP instead of UDP.

Windows Registry Editor Version 5.00

[HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Lsa\Kerberos\Parameters]

"MaxPacketSize"=dword:00000001

Greg E