This issue comes only with IE plugin and sometime if you connect from your Qlikview desktop to server using qvp protocol. Check with ajax zero footprint.
Which web server are you using?
Go thru this post: http://community.qlik.com/thread/20072
The tunneling error comes because when IE plugin is used it internally doesn't send the request using http protocol to webserver, it uses QVP protocol to directly connect to Qlikview server and it shift to tunneling. To make this work, QVtunnel.dll needs to be installed at server location which by default doesn't get installed if we are not using IIS web server.
Hope this help,