Try these links
http://www.fjsmjs.com/IE/redx.htm

You must also download the latest Java update (this is not the latest but version 1.5 has problems)
Java 1.4.2._08 Link
http://java.sun.com/j2se/1.4.2/download.html

Also your security settings may be too high - try and set them to defaults - in the security options - you could also try and set ALL defaults for IE in the Programs tab of IE options ie click on "reset IE settings"

As a last resort download this program which fixes your connection settings if you use dialup.
http://www.cexx.org/lspfix.zip

Let me know how you go