The subject behavior will occur if you have set local Group Policy, and did NOT filter out administrator accounts.
To fix this problem:
1. Start / Run / GPEdit.msc / OK.
2. Navigate through User Configuration / Administrative Templates / Windows Components / Internet Explorer.
3. Double-click Disable Internet Connection Wizard and set it to Disabled.
4. Press OK.
5. Expand Internet Control Panel.
6. Double-click Disable the Connections page and set it to Disabled.
7. Press OK.
8. You will need to restart your computer for these settings to become effective.