HTML screensaver not working if user is not logged in

I created simple screensaver using CHTMView class reading HTML file stored locally. Everything is fine with IE 6,7,8, 9 and 10 when user is logged in. If I set screen screensaver globally (ie. running before user login after reboot) then there is a problem on IE 9 only. I doesn't display anything, other versions of IE are OK. Even on the same machine upgrade to IE 10 is without any problem. I tried to emulate IE7 by registry settings and changing HTML header but no luck. Is there anything special with IE 9?

Thanks for any advice.