I found that the connection results in a fascinating series of events. I'm sure this isn't news to many hard-core techies, but I think it's well worth explaining for the benefit of all. And I think it raises some questions that ought to be asked of Microsoft about at least one of their servers. At long last, the browser is sent a displayable page.
Nothing seems particularly amiss.
If his cookies are enabled, the result is cookies stored on the user's machine for both sites using the same identifier. Both servers now have corresponding tracking records and the same identifier. The most interesting thing about all this is that it accomplishes cross-domain exchange of cookie information. This mechanism of redirects allows cookie data to be carried invisibly from one domain to another, and for matching cookies to be created. It is a very clever technique.