A colleague in Germany forwarded me this interesting Microsoft knowledgebase article.

Internet Explorer May Lose the First 2,048 Bytes of Data That Are Sent Back from a Web Server That Uses HTTP Compression

This appears to only happen if another program registers (Real8 Download is the example given in the KB article) to use some of the more obscure Internet Name-Space handlers with Urlmon.dll. These corner cases include rarely used protocols like HTTP, HTTPS, and FTP.
Also, this only applies if you haven’t bothered to patch your MSIE 6 for like, oh, two years. So, if you have bizarre behaviour with sites that use compression, use that Microsoft Update thingie you may have heard of.