What's in your proxy settings?
Tools, internet options
connections tab
LAN settings
Is anything checked? If so, try with all items cleared..
Sounds like it may be a firewall/content filter that may be blocking...like you say, since you can ping out, you are definitely getting out to the net for that traffic, so it's got to be something else blocking it.
Do any sites work? (I know this is the only one that counts...)
Sorry I'm not more help.