Media player offline

I am new to XP and I am having an issue with media player.
I commonly listen to CD's while working. My problem is
that when each song starts media player is promting me to
log on the internet(via proxy server). I am aware that
there is a "work offline" option but when I use it I am
unable to use IE and as a web dev that is not acceptable.

How can I get media player to run as an offline app while
still being able to use IE?


Alan