From Microsoft: "you may experience a problem when you visit some Web pages that are in different Internet Explorer security zones. When the problem occurs, you receive a message that resembles the following: Navigation to the webpage was canceled
This problem occurs if the navigation causes Protected Mode settings to change from On to Off. You can determine which Internet Explorer security zone a Web page is in by looking at the status bar at the bottom of the Internet Explorer 7 window.
This problem occurs because Internet Explorer 7 switches Protected Mode settings when certain Web pages are configured in the Trusted Sites area of the Security tab of the Internet Options dialog box. By default, Protected Mode is set to Off for Web sites that are configured in the Trusted Sites area"
Go here for the fix:
http://support.microsoft.com/default.aspx/kb/967941
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