[BUG] Yahoo! Messenger does not login if proxy is set in Internet explorer

Yahoo Messenger seems to be using the proxy credentials from the Internet Explorer. If user sets the proxy in the IE and then tries to sign-in to Yahoo messenger, most of the times it gives the message as sign-in problems. While this thing seems like a bug, it can very well be a feature as it improves the usability as user may not have to enter the proxy credentials (Naive users will not be knowing about the proxy stuff).
But think of case wherein user :
-has both direct connection and connection through proxy.
-has set the proxy in the IE and not in the Yahoo messenger.
The Yahoo messenger works fine if IE is launched even before Yahoo Messenger. But think of case wherein user tries to log-in to yahoo before launching IE, Ideally it should have launched since user has the direct connection available, but it gives user sign-in problem message and user will be clueless about the cause.