We are having a problem with accessing sites that issue "server moved" instructions. The CE is not passing on the socket close connnection when a continuation frame is used. The upshot is that we can't access sites that issue "server moved" instructions. This is very similar to a bug in IE4: http://support.microsoft.com/default.aspx?scid=http://support.microsoft.com:80/support/kb/articles/q193/4/89.asp&NoWebContent=1&NoWebContent=1
However, my web browser are set NOT to use http 1.1 for proxies and ALL the communication between the client, CE & server have HTTP 1.0 headers. I do not experience any problems when not using a proxy server or when using MS Proxy 2, which does point to a problem with the CE. The problem does go away if I set the browser to use HTTP 1.1 for proxies the problem goes away, however this is not an option for various reasons that I won't go into here.