Keep-Alive in MSIE


I am checking MSIE(Micorosoft Internet Exprolor 3.01)'s requests.
It is strange about Keep-Alive. 
Do you know anything about it ?
Could you tell me why ?

1) When I open URL of 'http://www.sgi.com/'. MSIE issue request in following...

Accept: image/gif, image/x-xbitmap, image/jpeg, image/pjpeg, */*
Accept-Language: ja, en
Pragma: no-cache
UA-pixels: 1024x768
UA-color: color16
UA-OS: Windows 95
UA-CPU: x86
User-Agent: Mozilla/2.0 (compatible; MSIE 3.01; Windows 95)
Host: www.sgi.com
Proxy-Connection: Keep-Alive

2) Proxy response that resource with 'Connection: Keep-Alive',
   and wait next request.

3) MSIE receive response. but not display.

MSIE wait closing of stream, I think. It is keep-alive ? really ?
Other hand, Netscape Navigator work well as keep-alive in such scheme.

Any way, Why Intenet Exprolor said 'User-Agent: Mozilla/2.0' ????