Changing “Trusted Sites” list affected HttpWebRequest in application running under different account

We have a webscraper ASP.Net application, that worked fine on developers and test environments, but didn’t work on some machines with more strict security settings. HttpWebRequest failed with System.Net.WebException: Unable to connect to the remote server


It start working when my colleague  added the site that application tried to access to his “Trusted Sites” zone using Internet Explorer. What we couldn’t understand, how it affected an application that ran under DIFFERENT account.
I didn’t find any references that Internet explorer security settings are shared between users.
The server affected had Windows 2003 Server and Internet Explorer 8.

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