sodajerk is right about the code bases. The Unix versions of IE used about 98% of the Win32 IE source code, along with the Mainsoft libraries which implement Win32 on certain Unix platforms. At the time IE for Unix was released, Mainsoft only supported Solaris and HP-UX. Today, they also support AIX, but they still don't support Linux yet (announced for 4th quarter of this year).
Mainsoft talked about supporting Linux for years, but they didn't consider it worth their while until there was enough mature plumbing which could be consistently found across distributions. This is the true reason that there was never an IE for Linux; Microsoft's goal was to address Netscape's cross-platform argument but not at the cost of major development work. Using Mainsoft, it took a very small handful of people to port the Win32 IE to Solaris and HP-UX. The most work was just spent on testing and setting up support resources within PSS. I don't know how much Microsoft paid to license Mainsoft, but Mainsoft has always had a close relationship with Microsoft due to Mainsoft providing SourceSafe for non-Windows platforms. Mainsoft also pays Microsoft to license Windows source code, so Microsoft might have gotten a license for the libraries merely by offering a discount on Mainsoft's Windows license fees.
If Mainsoft had supported Linux, I'm fairly sure Microsoft would have released an IE for Linux knowing full well that no real Linux user would be caught dead running it, but it would have scored huge points in the press and with analysts. Since Linux is already x86 architecture, the port would have been even easier than with Solaris and HP-UX, and it would have cost virtually nothing to set up PSS with the resources to support it for one or two major distributions.
Bristol, Mainsoft's only real competitor, does have a product which supports Linux, but it really was never an option for Microsoft to use Bristol. Relations between Bristol and Microsoft were cold after September 1997 when Microsoft raised the price on Bristol's license for Windows NT source code (as well as Mainsoft's) and Bristol filed suit. Bristol did get a Windows source code license in 1999 and released their Linux product shortly thereafter, but Microsoft released IE for Unix in February 1998, and the lawsuits were not settled until February 2001. (Microsoft won the first trial in front of a jury, but got a hostile judge in the second case and paid something like $4M to settle.)
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