That clunky web-interface is notorious for such frustrating behavior.
Access the newsgroups via your default newsreader instead:

Setting up Outlook Express to access Microsoft newsgroups
http://www.michaelstevenstech.com/ou...snewreader.htm
--
~Robear Dyer (PA Bear)
MS MVP-IE, Mail, Security, Windows Client - since 2002


Ian wrote:
> I recently posted a question to one of the Windows XP newsgroups, and
> asked
> to be notified of replies.
> I received notification of a reply, which included two links "Read and
> rate
> the response" and "click this link to continue receiving notifications for
> this thread". Neither of the links worked! They just produced a blank
> page
> which said it was done loading. This was true both in IE 6 under Windows
> XP
> Professional and in IE 8 under Windows Vista Business.
> WHY?