Almost certainly your network or IE config. Drop downs should load once, and not change until the user does something. If it's behaving differently, then something is broken, and it's not going to be the server in this case because no-one else is seeing it.
What happens if you try another browser?
Ok, that definitely tells you it's a problem with their systems and not yours. I'm not a network engineer, so I'm not sure how to proceed on a technical level (start checking what ports are open, the request headers, if there's any form of blocking/restrictions/filtering happening and so-on), but if possible, I'd start by getting your customer to raise the issue with their support.
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