It is more likely to be due to the security restrictions in pace for the zone you are in. Try adding both sites to the 'Local Intranet Zone' (which by default allows cross-domain and zone hopping stuff to happen) and see if you get the same problem.
Assuming that you own both sites and trust the content therein!
Also, have you tried taking the string defined on Source parameter and typing it into the browser address bar, just to make sure it does work as you expect.
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