IWebBrowser2.Navigate2 fails to INET_E_RESOURCE_NOT_FOUND (0x800C0005) during a new session

In my ATL project I have the window which is a host for html browser. I have a need to create/destroy this window during runtime. When IWebBrowser2.Navigate2 is called third time it triggers DISPID_NAVIGATEERROR with the status INET_E_RESOURCE_NOT_FOUND (0x800C0005). MSDN describes it as the server or proxy was not found but I call the method for exactly the same URL as in previous sessions.

I do the following in my code:

Init routine:

ole_obj_.CoCreateInstance(CLSID_WebBrowser);
ole_obj_->SetClientSite(this);
ole_obj_->DoVerb(OLEIVERB_SHOW, NULL, site, 0, GetHWND(), &rect);
CComQIPtr<IWebBrowser2> webBrowser(ole_obj_);
DispEventAdvise(webBrowser, &DIID_DWebBrowserEvents2);

Navigate routine:

CComQIPtr<IWebBrowser2> webBrowser(ole_obj_);
webBrowser->Navigate2(&varUrl, 0, 0, 0, 0);

Destroy routine:

DispEventUnadvise(ole_obj_, &DIID_DWebBrowserEvents2);
ole_obj_->Close(OLECLOSE_NOSAVE);
ole_obj_.Release();

The interesting fact that if I comment ole_obj_->Close(OLECLOSE_NOSAVE); it works but of course I get a memory leak.

Any advice is welcome.