This has been an ongoing issue for some time now around the office. There are all sorts of theories about how things work (needless to say I was wrong on a thing or two as well) but it’s all going nowhere fast.

Some links that I’ve found addressing Internet Explorer configuration for SharePoint Portal Server.

Internet Explorer Security Zone Settings for Pass-Thru Authentication to SharePoint

Internet Explorer Settings in order to have correct Authentication to SharePoint links embedded with-in CRM