I’m searching the internet trying to find a solution.
As it turns out, it’s a problem that exists for several years, as you can see in this tread:
http://www.webmaster-talk.com/php-forum/19149-_server-http_referer-fails-under-internet-explorer.html
I keep on searching. If I think I’ve found something, I will report it here.
*edit 1*
Found this information on the Microsoft site:
http://support.microsoft.com/kb/178066
*edit 2*
Well, I keep finding the problem, but no real solutions.
According to some it’s just IE4+, according to others it could be environmental (firewalls and other security measures).
Many point out that validate HTTP_REFERER is not a real security measure, because it can easily be influenced client side, as you for instance can read here:
http://seclists.org/webappsec/2005/q4/0289.html
So, I guess turning this option off isn’t going to be a big issue