Use HTTP 1.1 through proxy connections  
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Internet Explorer / IE >> Use HTTP 1.1 through proxy connections

I have a windows forms control embedded within a HTML page, as described

It works perfectly, except when users have the "Use HTTP 1.1 through proxy
connections" checkbox checked on the Advanced tab of the IE Internet Options
dialog box.

Ideally we'd like to let our users have this checkbox enabled since it can
improve performance. However, for some users that have it enabled IE
refuses to instantiate the embedded control. Examining the cache shows that
two instances of the control are downloaded (instead of the usual one
instance.) The first one appears to be an incomplete download of the file.
My theory is that IE tries and fails to instantiate this incomplete control.
This problem seems to happen for a variety of IE6 clients with minor version
number differences. I think it also happens with IE7 but I haven't had a
chance to test with it very thoroughly.

I suspect the problem also occurs with embedded ActiveX controls although I
haven't had a chance to confirm that.
Another clue is that it only happens for some users, depending on their
geographic location. This suggests that some proxy servers may be
contributing to the problem but maybe not others. I'm fairly certain all
the servers involved are Win2003.

Does anybody have any ideas about what specifically is causing this or how
to fix it?

Internet Explorer41