As per CTX122438, Host to client redirection does not work with published internet explorer.

Caution! Using Registry Editor incorrectly can cause serious problems that might require you to reinstall your operating system. Citrix cannot guarantee that problems resulting from the incorrect use of Registry Editor can be solved. Use Registry Editor at your own risk. Be sure to back up the registry before you edit it.

Workaround:
The workaround is to simply make these reg key changes,

HKLM\Software\Classes\htmlfile\shell\opennew 
HKLM\Software\Classes\http\shell\open 
HKLM\Software\Classes\https\shell\open 
HKCR\http\shell\open 
HKCR\https\shell\open 
HKCR\htmlfile\shell\opennew 

Original Value: 
ValueName: CommandID 
ValueType: REG_SZ 
ValueData: IE.Protocol 

Rename it to: 
ValueName: CommandID 
ValueType: REG_SZ 
ValueData: IE.ProtocolX

 

---

Problem Cause

Background:
This is due to MS design change. With IE9 and later, MS added a reg key in IE extensions:CommandID: IE.Protocol, this changes IE / Windows behavior -- if there is an IE instance running, default browser will stop working, instead, hyperlinks will be opened with the existing running IE as a new tab.
Content redirection is based on Shell command "Open" and we change the default browser to one of our applications which gets the shell command and redirects it to the other side. Because of the IE behavior change, content redirection stopped working. 

http://support.citrix.com/article/CTX122438