You will need InternetExplorer driver executable on your system. So download it from the hinted source (http://www.seleniumhq.org/download/) unpack it and place somewhere you can find it. In my example, I will assume you will place it to C:\Selenium\iexploredriver.exe
Then you have to set it up in the system. Here is the Java code pasted from my Selenium project:
File file = new File("C:/Selenium/iexploredriver.exe");
System.setProperty("webdriver.ie.driver", file.getAbsolutePath());
WebDriver driver = new InternetExplorerDriver();
Basically, you have to set this property before you initialize driver