You will need have to download InternetExplorer driver executable on your system, download it from the source (http://code.google.com/p/selenium/downloads/list) after download unzip it and put on the place of somewhere in your computer. In my example, I will place it to D:\iexploredriver.exe
Then you have write below code in your eclipse main class
System.setProperty("webdriver.ie.driver", "D:/iexploredriver.exe");
WebDriver driver = new InternetExplorerDriver();