It is my guess that the Administrator has put some sort of check in place to stop any history activity (auto emptying of history) there is also a setting in IE6 to clear all files on closing (cookies, temporary internet files & History)
click Tools/Internet Options, Advanced tab, in the security section (bottom lot)
see if there is a tick in "Empty temporary internet files folder when browser is closed"
on our computer at work we can only access our works web site, nothing else
dont know if this helps....