First off you want to follow the general best practice Kentico suggests in regards to the file system and where to place files. I'd suggest placing your handler in your site directory i.e.: site name = "MySite" your directory would be named /MySite. So maybe something like /MySite/Handlers/AuthHandler.ashx. You could also use the /CMSGlobalFiles directory as suggested in the link above.

Secondly, try to access that page without being logged in, if it works great, if not, go to Site Manager>Settings>URLs and SEO>URL format>Excluded URLs and add/MySite to the list.