I did some testing, and IE does not seem to care about the capitilization of the location. Basically, one of three things happen:

1. The page opens correctly, if everything is alright
2. An error page is generated, if the script has an error, or you forget the second newline, etc.
3. It complains about not being able to open the new page, expecially if you are using relative URLs (I suspect you are not)

I have not been able to duplicate your experience. Try rewriting the script like this to see exactly where IE is trying to go:

print "Content-type: text/html\n\n";
print "<H1>Location: http://$url\n\n</H1>\n;
[download]

It's probably just something wrong with the $url variable.