Do the two applications have different domains? IE is preventing the cross-site scripting.
Can you not just have a link to the other site?
EDIT: If this is on Windows Server 2003, then the only way that I've managed to get around it is to disable to enhanced browser security. If this is the case, then you shouldn't really be browsing from a server in the first place.
Edit2:I'm guessing that it is the enhanced browser security that is doing this.
Check out this link: http://support.microsoft.com/kb/815141 on info about it.
Your choices are to either to disable it, add an exception for that site, or use another browser.