Error starting BSP App

I have a curious problem that occurs when a colleague starts a BSP application. He gets 2 popup windows in his Internet Explorer window (immediately, before any other thing happens):

The first says: "Windows cannot find 'http://sap010.alarismed.com:8002/sap/bc/bsp/sap/crm_bsp_frame/select.htm?sap-client=400&sap-sessioncmd=open' Make sure you typed the name correctly...."

This is a Microsoft error message. The URL is a valid path to the BSP page, but does not contain the URL mangling part of the usual BSP URL. One can type this string manually into IE and it brings up the page correctly after a login prompt, this time with the URL mangled.

After closing the first popup, the second popup appears:

(PopUp Title: SAP Graphics Multiplexer 620-N)

E3: unable to start child process: executable file name 'http://sap010.alarismed.com:8002/sap/bc/bsp/sap/crm_bsp_frame/select.htm?sap-client=400&sap-sessioncmd=open' Windows NT error 2: File not found

Now I found this error message in OSS notes, and it usually means that a physical file on some harddrive has been moved. But this is a URL!

After closing the second popup, we are left with a blank IE window.

Where do I start looking for this error? I have the same operating system (Windows XP Pro) and same SAPGUI version as my colleague, and same IE version with same Advanced settings, cookie options etc, as far as I can tell. We both accept 1st party and 3rd party and session cookies. He is not blocking any specific cookies.

I do not get the error with my userid on my PC, my colleague does not get the error with his userid on my PC, I do not get the error with my userid on his PC, but he gets the error on his PC with his userid! That seems to eliminate authorization problems, SICF setup problems, SAPGUI version problems, IE problems...

I tried a trace from SICF - I can see my HTTP activity in the trace, but when he gets the error, there is no HTTP trace. Any thoughts on what to try next?