Check in IE - go to Tools, Options, Connections tab, Lan Settings button..., and see if you have a proxy server specified. My guess is that you do. You may need to specify the same proxy server settings for this outgoing request from .NET. I did a quick search and found these....

http://www.thescripts.com/forum/thread425824.html

http://www.codeproject.com/vb/net/web_service_by_proxy.asp?df=100&forumid=16041&exp=0&select=1119964

Let us know how it goes.