IE8 or IE10 not caching (downloading .xsl file into Internet temporary files folder) when in VPN

Hi,

We have a third party web application (ASP) that when it is being accessed internally (within corp network), it works fine with IE8 or IE10 with Compatibility view.  However, when we access the web application via VPN, we are getting an "Internal Error: Unhandled error loading XML document (file) ../taskmanager/task-manager_preformat_email.xsl, error:System error -2146697189".  After digging and troubleshooting, I found out that this .xsl file is supposed to be downloaded to the C:\Users\user_name\AppData\Local\Microsoft\Windows\Temporary Internet Files folder.  However, it doesn't when in VPN. I tried to change some settings in IE and registry as well but no success.  

Anyone has idea?

Thanks.