In IE, check your internet options > Connections > Lan Settings. Make sure a proxy server is not defined, uncheck the box if it is. If it goes to 127.0.0.1 then you have a bug on your system. I have seen a few recently that setup a proxy on the host machine and access the internet that way. Basically it installs a programs that points the machine to itself and the program translates/records all information to the internet. Automatically detect settings may be checked which is OK.
It may not be this but, lots of software imports the IE settings for their configuration to the internet. You can see if iTunes is the same way.