Did you get this resolved? My guess would be that there is nothing wrong on the ColdFusion side but rather an "issue" with how IE is behaving. I have noticed in some situations that I need to include the domain when authenticating to active directory in IE but not in other browsers. So "domain\username" instead of just "username". If this is your issue I can shed a little light on why it happens or possible steps to resolve.
I should add that I am referring to a setup where IIS is asking for the authentication.
