We have BM 3.7 (latest updates, etc.) running on 5.1 SP7. We're doing
proxy and NAT with this machine.

Some of our employee's login via Cisco VPN. They're able to access all
the local stuff just fine, but when they try to connect to a web-site
via Internet Explorer with the proxy checked, it doesn't work. I can
see the packets being blocked, but if I create an exception, then it
allows all users on the network access to the Internet regardless of
whether they have the proxy checked or not.

The odd thing is, when I test it with Firefox, I have no problems at all.

Any ideas?