Proxy Auth IE6

We use a 3rd party device that acts as a firewall and proxy server.
The proxy side uses squid/2.5.STABLE3-20030725. The Web Proxy
requires a username and password, which queries our active directory
through ldap to gain access to the web. Everything works great inside
of the firewall. But if i VPN into our network, using Win2kSP and PPTP
client built into Windows, i run into a problem. Once connected to
the vpn, i try and open a webpage through IE6sp1. I never get a proxy
login box. If use Netscape or Firefox, everything works great.

Is this a known issue with IE or maybe squid? I have been googling for
the last 2 days and have not found a fix.

Thanks.