Redirects from www servers

Hello,
I use Jigsaw 2.0.4 as a proxy. When I try to log in to some personal
pages at yahoo, e.g. edit.my.yahoo.com, I get redirected back to the
login page when my traffic goes through the proxy. If I log in without
going through the proxy, I'm logged-in properly...
It seems as if the yahoo-server responds with a 302 found when the
request comes from the Jigsaw proxy, but with a 200 OK when the request
is direct.
The requests sent to the server (directly and from the proxy) looks
roughly the same to me, apart from the 'Via' header (which doesn't show
a fully qualified DNS name, but rather an internal one-word hostname). 
Can anyone see a particular reason for this behavior from a web server?

Best regards
Niklas Wiberg