TMG weird website formatting

I just installed TMG as my proxy server a couple of weeks ago and only
have had this experience with one website: www.auction.com, where the
formatting is totally out of whack where the font is all like Times
New Roman, there are pictures running through the text (or vice
versa), and the "mouseover" menu at the top of the page looks like a
bulleted list instead. Anyone else with TMG have this experience with
the site or any other site?
.