AHAH/AJAX bindings do not work in Internet Explorer for elements of type checkbox or radio. They work fine in all other browsers I tested.
This bug also exists in Drupal 6.
How to recreate the bug: Create a checkbox and add #ajax behavior to it. Demonstrate correct behavior visiting the page with firefox (click the checkbox, it fires the AJAX/AHAH behavior). Visit in IE, and see that it doesn't. The attached demo module can be used for testing.
The attached simple module can be used to demonstrate the behavior.