I'm not sure there is any way to fix IE RSS reader. From looking at the logs it appears that the IE uses a different AGENT when requesting the feed file once you have subscribed. What is really interesting is that even if you browse to the feed url through the website after you have subscribed it even sends that request with the different AGENT.
My guess is that because the AGENT is changing that it breaks the auto-login cookie. Or it isn't using the main browser's cookies at all. I'll just tell IE users that it is a browser problem and they can't access the all forums feeds.

There are still the issues of the missing link code in the header, not being able to delete (I had to get ride of mine through an sql delete), and the deactivate checkbox bugs. Would also be nice if those custom built feeds were dynamic urls instead of direct links to the cache folder.