One you have setup an home box page, you need to set permissions rules for that page.
From Administer > User managment > Permissions, select all the roles that can access your Home box pages.
To do that, tick the checkboxes which starts with "access homebox [homebox_name]" for each role you want to grant access.
Never ever check the anonymous permission, since Home box is unable to save user preferences for a user that doesn't exists on your Drupal site. Or at least warn them that they won't be able to save their preferences, and tell them that they really should create an account!