Usually software firewall programs block your refer, basically it is the part of the HTTP HEADER that tells the web server where you came from, or where you were refered from, software firewalls do it in an attempt to give you a bit more online privacy but some websites dont like it.
So yeh, check your software firewall, as for your MSIE cache, im guessing thats just your temporary internet cache, so your temp internet files need deleting.