A recent IE patch (813489) broke FrontPage preview functionality. It did so on purpose for security reasons and there is now a workaround for this behavior.
The reason the patch broke FrontPage preview is because IE implemented a function in their code to prohibit browsing across zones.
There's a registry key that will instruct IE to allow listed applications to browse across zones. FrontPage is not part of that registry key.
You can enter it manually and get the preview to work again.
Add the DWORD value FrontPG.exe to the following key: