IE8/9 - 404 error, but works when running through Fiddler and in Chrome

I have a kunundrum I'm trying to figure out and I'm not too savvy with IE settings.  Basically customer is getting a 404 error when using IE 8 or 9.  I tried to have them send me a fiddler trace, but when Fiddler is running they don't get the error.  Can anyone think of an advanced setting in IE that would cause this?  I went through the standard settings one by one and couldn't find the one that's causing the issue.  Doing a hard reset of all IE settings to default also resolves the issue, but the customer wants to know which setting caused this.