IE8 and IE9 have a problem with certificate errors. If you came in to this web site over HTTPS, then you already dismissed one security warning. (If you came in over HTTP, please come in over HTTPS.) If you pop up a new window, you'll be presented with another security warning. And if that window pops up yet another window, you'll see another security warning. And so on.
Why do I think this is broken? Because IE6 and IE7 only present one warning, and the online help for IE8 states:
About certificate errors
...If you ignore the warning page and go to a website that has presented a certificate containing errors, Internet Explorer will remember the certificate while you have your browser open. You can return to the site and will not receive another warning for that certificate until Internet Explorer is restarted...
Why is this important, you wonder? Because if your site presents a self-signed certificate (e.g., for an initial installation of an SSL intranet web server), your users will be annoyed at needing to dismiss multiple warnings imploring them to close their browser window.
Click here for a cookie test that showed failure in pre-release IE8 (fixed in the final version of IE8).