Seems to me there is some policy maybe your network admin has setup for IE specifically. OR an issue with possibly your load balancer persisting sticky seasion. Its a common issue if your load balancer isn't properly configured that it could show the login screen from one server and the post it back to another server and not know because seasion or the state of the user was not persisted across the post back.
Even though it's not happening in all browsers I'd get a traceroute setup for 30-60 minutes in your environment and test it out in all browsers to nail down the issue further.