I'll leave the problem I had below since I saw one other person had the same problem and I already typed it all out while I was troubleshooting. 
The problem is corrected in Internet Options - Advanced Tab
Need to check Use HTTP 1.1 in advanced property settings.
This happens only on my PC.  I can connect using IE6 from a laptop using XP and a server using NT4.  At my desktop, I try to connect using the IP of the switch.  It connect and prompts me for username and password.  I type them in and press OK.  It appears to accept the pass, the title bar on top of IE shows Dell OpenManage Switch Administrator, but the rest of the page won't populate.  After 30 seconds or so I get prompted a second time for a password.  The page finally shows the upper most section of the page and "Loading Data from the device...."
What setting do I need to change here on my PC?   Is this a IE problem, MSJava, XP?  I've tried this with or without the XP firewall on.  Disabling the IE popup blocker has no effect either.