Check IE 6.x's Tools/Internet Options/Advanced section, and inspect the tick boxes related to images and such under the "Multimedia" subsection.
Also check the Internet Options to see what the tick box selection is for "file download" allowed/disabled in whatever "Zone" GT appears in (Internet Zone, Trusteds, etc.)
Other thought would be any popup blocker sw that you're running could be interferring. One of them, and the name escapes me, requires you to hold the "cntrl" key which clicking a link in order to allow the subsequent window, linked destination, java popup windows, etc., to function.
I'm doin the best that I can.