We already know about IE memory leak pattern. It's a matter of garbage collection between JS objects and DOM objects.
Did you know about IE HttpRequest memory leak ??
It seems that there is the same symptom with HttpRequest object instanciation. In IE, that objetc is not JS native. It is an ActiveXObject. So that might be the cause.
I have recently faced important memory leaks in our new AJAX application. However, I had my own implementation working well for breaking DOM and JS cycling reference. The point was that my HttpRequest objets where refering to a higher level JS object that contained an array with references to these HttpRequest objets. So I had a cycling reference between standard JS object and ActiveXObject. I did the same breaking reference tool and it all disappeared!