Hi Paul,
Thanks for the response. The fact that I simply don't know where to look for this "error" makes this more annoying than anything else...
Anyway, in response:
The MacPro is connected to both networks.
Primary network is meant for Internet connection; secondary is for internal connections such as shared disks.
However, when I disconnect the primary connection, the MacPro uses the secondary network for Internet access (yes, through completely different hardware) and in that case, the "blocked" site is indeed reached and shown without problems. Re-connecting the primary and refresh: time-out.
I think this answers the Internet-Explorer-only part of your questions.
The primary network consists of MacPro wired to AirPort wired to ISP modem; as far as I can tell all firewalls have the setting "allow all incoming traffic".