IE8 cross domain links not working

Suddenly when using IE8 when I try to access a link that's not on the same domain IE8 refuses to do anything. (Can't open in tab, can't open in new window, won't go in same window). Can keep clicking it but nothing happens. Nada, zilch! If I click on the link whilst holding down the Ctrl key a new tab opens that says connecting but doesn't get anywhere and, interestingly, both open tabs turn bright green!

Copy and paste of the shortcut, of course works fine but its very frustrating.

It doesn't happen in Firefox so I assume its not anything to do with my AVG anti-virus programme.

I've tried many suggested solutions in the Advance Settings of the Internet Options but nothing is making any difference.

Has anyone else experenced this problem?

Yes I have done that a couple of times :)