Strange. Here's a download script I wrote for personal use... works fine in IE and other browsers...
header ('Cache-Control: must-revalidate, post-check=0, pre-check=0');
header ('Content-Type: application/octet-stream');
header ('Content-Length: ' . filesize($path.$get));
header ("Content-Disposition: attachment; filename=\"$get\"");
$fp = @fopen($path.$get,'rb');
ini_set('max_execution_time', 0);
fpassthru($fp);
fclose($fp);
EDIT: Try surrounding the filename in the Content-Disposition header with quotes. I seem to remember IE having issues with this value if left unquoted...