First option, open IE and goto Tools > Internet Options, then the Connections tab. Find the "Lan Settings" button and click it. In the new window, check to see if any Proxy Server settings have been set. If so, remove them all and select the ""Automatically detect settings" option. Click OK/Apply/OK, then restart IE and see if it will surf. Malware does this sometimes.
If that doesn't work, try IE's Safe Mode option, which is IE without it's Add-ons. You can find that in Start > All programs > Accessories > System tools, then "Internet Explorer (No Add-Ons)". If that works, eg if IE can now connect to the internet, then the problem is with IE's Add-ons. Restart IE's normal mode then goto Tools > manage Add-ons, and start an elimination test for All Add-ons. A quicker way is to "Reset" IE back to default. IE Tools > Internet Options, then the Advanced tab, and hit the "Reset" button.
If neither works, then you look at the firewall settings, but I can't help there as I can't see which firewall you are using. With my ZoneAlarm firewall I can open its Control Center, go to Program Controls and search down the list for Internet Explorer and check whether ZA is allowing IE access to the internet. I can't do that for your firewall.
One final thing, why are you using IE? It is, still, the least secure of the major browsers and is susceptible to these kind of attacks.
Windows XP SP3
Internet Explorer 8
After cleaning some infections using Malwarebytes and Spybot SD, Internet Explorer can no longer connect and display web pages for the single user login that was infected. Other user logins on the same computer work just fine. Under the affected user login, IE does not connect, but able to connect to home network fine, download emails into Outlook fine (so connection to the internet is there), and download updates into Malwarebytes and Spybot SD. So I have connection to the internet, but just not through Internet Explorer on that single user login. IE/Windows Diagnostics indicates possible problem with FTP, HTTP and HTTPS settings and suggest it is Firewall related, but I know nothing about how to verify, check or resolve those issues. And again, if I switch users and go to another user, IE works just fine. I suspect that something essential was deleted while using Malwarebytes or Spybot SD, but have no idea what to look for. Please help if you can.