Solution for the issue is.

On Internet Explorer following navigation can be followed.

Tools- Internet Options - Security - Custom Level - Enable XSS filter - Disable

Also refer below Metalink Notes:

R12.1 FRM-92050: FAILED TO CONNECT TO SERVER: /FORMS/LSERVLET [ID 1070263.1]

IE8 AND R12 SECURITY SETTING REQUIREMENT ON CROSS SITE SCRIPTING (XSS) [ID 1069497.1]