Well at least you know now it's not the game and something else is hooking into your browser. You said about Windows Firewall, but my guess would be this is some AntiVirus software that you're running. In recent years they do much more than just basic checking for viruses and it's not unusual for them to be filtering web traffic as well.

It also might be worth just looking to see if Internet Explorer has any addons enabled as one of those might be causing this. Did you try clearing out the cache/Temporary Internet Files to see if that helped as that could be the simplest solution.

It's also be worth looking in the IE options under the "Connections" tab and then "LAN settings" and making sure everything is unticked and that it's not trying to use a proxy server.