Just remembered, I had a similar problem with certain web sites but not others, no warnings just wouldn't access the site.
The solution was session cookies, which the site will maintain are "harmless"!
Problem cured by going as follows in IE6:
Tools>Internet Option>Privacy>Sites then type in to the box
www.microsoft.com and click on 'Allow'
Worth a try, when this happened to me it was on sites I had no previous problem with.