Do Entendimento do Cisco VPN Client da Cisco :
Browser proxy configuration for Internet Explorer
When connecting to the secure gateway at a central location, the VPN Client changes the web browser proxy to accommodate the organization's environment. When disconnecting, the software returns to the user's default browser application. This feature applies to Internet Explorer only. The VPN Concentrator administrator configures this feature in the VPN Concentrator Manager (see VPN Client Administrator Guide, Chapter 1).
A solução é pedir ao administrador do servidor VPN para desativar essa opção ou usar outro navegador diferente do IE, por exemplo, Firefox ou Chrome.