Have you seen this behavior before?
At two different clients now I’ve come across the following strange IE behavior on Windows 7 (I think IE9, but I don’t know that it’s limited to that version):
You know when you access an https: URL and, because of some certificate issue, get the warning page? Well, in both environments, the warning page did *not* offer the usual “Continue to this website (not recommended)” option – it was the end of the line, no way to go forward. I played with all the security options imaginable, made the site Trusted, made it part of the Intranet zone, no go! … until I accidentally discovered that this *only* happens when Internet Explorer was originally launched from a Taskbar pinned item. If IE is launched from the Start menu, from Run, from a CMD prompt, etc., the warning page does let you continue on to the site.
I can’t recall if this only happens with a redirected AppData (in which case the pinned shortcut is actually in the home directory), but I’m pretty sure that’s not the case – any pinned IE ought to display this behavior.