Could you check if the problem with IE relies on not defining security zones to allow cross domain requests? See this microsoft page for an explanation.
OTOH, this page mentions that IE7 and eariler cannot do cross domain calls, but IE8 can, using a different object than XMLHttpRequest, the one JQuery uses. Could you check if XDomainRequest works?
EDIT (2013-08-22)
The second link is dead, so I'm writing here some of its information, taken from the wayback machine:
XDomainRequest Supported: IE8
Rather than implement the CORS version of XMLHttpRequest, the IE team have gone with there own propriety object, named XDomainRequest. The usage of XDomainRequest has been simplified from XMLHttpRequest, by having more events thrown (with onload perhaps being the most important).
This implementation has a few limitations attached to it. For example, cookies are not sent when using this object, which can be a headache for cookie based sessions on the server side. Also, ContentType can not be set, which poses a problem in ASP.NET and possibly other server side languages (see http://www.actionmonitor.co.uk/NewsItem.aspx?id=5).
var xdr = new XDomainRequest(); xdr.onload = function() { alert("READY"); }; xdr.open("GET", "script.html"); xdr.send();