We found that Norton (Symantec) firewalls will cause this
problem. Depending on which version you have, the solution
is slightly different:
Variation 1:
the Project Server machine must be permitted to set
Cookies and see Referer information (Symantec Client
Firewall, Norton System Works) -
At the top, celect "Options", then select "Advanced
Options".
Click "Add site" and add your Project Server machine.
Click that machine from the list, and in the "Privacy"
tab, check "Use these rules for..." and change
the "Cookies" setting to "Permit" and the "Browsing
Privacy" - "Referer" setting to "Permit".
Variation 2:
the Project Server machine must be permitted to view
Information about Visited Sites (Norton Internet
Security) -
Open Web Content (Options, Internet Security) or Web
Content Options (Privacy Control - Advanced).
Click "Add site" and add your Project Server machine.
Click that machine from the list, and change "Information
about visited site" to "Permit"
Some users got around the problem initially by turning off
their firewall long enough to accept the EULA, but I don't
recommend that, even for short periods of time...
--Jo