I just troubleshooted a similar problem in IE8. I observed that IE wouldn't even POST to the server, the 'Access Denied' message came from IE. I tracked this down to a page served up over HTTPS trying to invoke a request (e.g. ESRI identify task) to a resource over HTTP, and across domains. By also ensuring the resource came over HTTPS, the browser was able to POST back. The resource was the sample proxy.ashx as provided by ESRI on their Working with a proxy page.