IE wants a full header (It wants to see if it has a cached copy).

HTTP/1.1 200 OK
Server: <server name>
Date: <weekday>, <day> <month> <year> <time> <time zone>
Content-Type: text/html
Accept-Ranges: bytes
Last-Modified: <same format as date>
Content-Length: <in octal> # I'm not sure if this line is required.
[download]

You can play around with the above and let me know how it works.