I remember seing the same problem in IE some time ago, though I don't exactly know what was the cause. However, your way is not the recommended way to setup the menu because DynarchMenu.setup needs to modify the document in order to generate menus. Trying to do this before the document has finished loading can generate a bunch of errors, depending on browser and connection speed.

For instance, the hmenu.js file may not have finished loading, which will generate an error like “Undefined is null or not an object™

I just ran into this problem as well. Fortunately, I had run into this when working on some Google maps stuff, and found an excellent solution that's very easy to implement.

The solution is described here:
http://www.ryangrant.net/archives/internet-explorer-cannot-open-the-internet-site-operation-aborted-google-map-api#comment-137

// solution -- move the "loading" code to a callback function and trigger it by timer
setTimeout("{$main_menu_id}_setupMenu()", 1);

function {$main_menu_id}_setupMenu()
{
document.getElementById('myMenuId').style.display = 'none';
DynarchMenu.setup('myMenuId', { electric: true, timeout: 70 } );
}

Enjoy!

Alan

Well, this works without any problems. For instance, the index.html page in the package sets up both: you have the main menu bar, and a context menu that opens when the document is right clicked.