Here are the steps to run your Selenium tests against Internet Explorer.

Create the tests

1. Install Selenium IDE from http://seleniumhq.org
2. Record your tests in Firefox using the Selenium IDE
   
3. Click File > Create New Test
4. Click the record button and create your test
5. Click the record button to stop the test
6. Save your test
7. Click Options > Format > C# to get the C# code
   

Setup Selenium Remote Control (RC)

1. Download Selenium RC (it includes the server and all necessary files)
2. Start the server by running selenium-server.jar in the selenium-server folder
   1. You can double click it, or
   2. Open a command prompt and type:
      java -jar selenium-server.jar

Run the tests

1. Create a new class library project in Visual Studio.
2. Reference the assemblies in the selenium RC folder related to .net
3. Paste the generated code from step #7 above into a class file
4. To test Internet Explorer, change the setup method to this
   

   [SetUp]
   public void SetupTest()
   {
       selenium = new DefaultSelenium("localhost", 4444, "*iexplore", 
                                       "http://www.mywebsite.com/");
       selenium.Start();
       verificationErrors = new StringBuilder();
   }

5. Run the tests with your favorite Runner – I use ReSharper

A Selenium Core window opens up as well as an IE window and your tests will run.

Jeremy blogged something very similar to this at http://codebetter.com/blogs/jeremy.miller/archive/2006/05/14/144666.aspx