Microsoft Knowledge Base Article 174680 contains the following summary:
This article describes how to download Internet Explorer for a different operating system than you are currently running.
The installation files for Internet Explorer are specific to the operating system. Active Setup determines the version of
the operating system running and then downloads the files appropriate for that operating system. For example,
if a Windows 98-based computer downloads the installation files for Internet Explorer 5.5 Service Pack 1,
the downloaded files are specific to Windows 98. Those files cannot be installed on a Windows NT 4.0-based computer.
This article describes how network administrators can create an installation folder for Internet Explorer with the files
necessary for installing on a different operating system.
NOTE: If you need more control over customizing and distributing Internet Explorer,
then obtain the Internet Explorer Administration Kit (IEAK). For additional information about IEAK,
please see the following Microsoft Web site:
http://www.microsoft.com/windows/ie/downloads/default.asp
