Yes, this is normal. The gateway they are using is utilizing some kind of proxy/content/rules based filtering. Essentualy they are blocking outgoing traffic that is not using HTTP or using some kind of useragent check for restricting by allowed clients for web access.
By opening IE, they are making a connection to the internet and then AOL is tunneling through that connection to get through the proxy. It is actually very frustrating for us that do maintain content filtering proxies that AOL is able to do this because we have to write special rules to filter the content that AOL can pull into your network through that tunnel.
Edited by ColdinCbus, 12 May 2006 - 06:32 PM.