I don't know why this is happening, but a workaround may be found
here:
http://www.petri.co.il/forums/showthread.php?t=12351 in the comment by
jhmorris. the same thing was happening to me, and adding the server
name to the IE config fixed it. But I'd still like to know what the
overall situation is, if anyone knows why this is happening. Is it all
in the name of security?