I have a problem which is constantly appearing on each Windows 7 computer I'm using, whenever I establish a SSTP VPN connection to a ForeFront TMG 2010 firewall; it only happens with SSTP connections, not PPTP/L2TP ones.
The problem appears only if using a proxy server for Internet access; it doesn't happen when directly accessing the Internet (with or without NAT). It doesn't seem to depend on a specific proxy software being used (I've seen it happening with various ones).
The problem is: as soon as I start the VPN connection, Internet Explorer can't access anything anymore.
I'm not using the VPN connection as a default gateway, and I can succesfully ping the proxy server after the VPN connection is esatablished (and even telnet to its 8080 TCP port), so this is definitely not a routing problem.
Also, the problem is specifically related to Internet Explorer: while it seems not able to connect to any site, other programs (such as FireFox) have no problem accessing the Internet through the same proxy.
This behaviour can be easily reproduced on any Windows 7 computer (the service pack and patch level doesn't seem to matter at all). Have IE connect through a proxy, establish a SSTP VPN connection... and IE will just not work anymore until the VPN connection is dropped.