OK I finally resolved the issue with Symantec Firewall. Well this surely could happens not only with .Net but surely with every code playing with the HTTP stream.
The culprit here was a call to a method UrlReferrer to check from where the user is coming from. Nothing too complicated here but Symantec Firewall apparently don't like the idea !
After removing the test, everything is fine now. Not sure now how I am going to replace the method.