The problems people mention about IE are actually a feature!
Microsoft Knowledge Base Article 316431 says:
In order for Internet Explorer to open documents in Office (or any out-of-process, ActiveX document server), Internet Explorer must save the file to the local cache directory and ask the associated application to load the file by using IPersistFile::Load. If the file is not stored to disk, this operation fails.
When Internet Explorer communicates with a secure Web site through SSL, Internet Explorer enforces any no-cache request. If the header or headers are present, Internet Explorer does not cache the file. Consequently, Office cannot open the file.
They say this applies to:
Microsoft Internet Explorer 5.5 for Windows 2000
Microsoft Internet Explorer 5.01 for Windows 2000
Microsoft Internet Explorer version 6 for Windows 2000
not sure about other versions!
hth
nickyboy