In the test page that you pointed the only error I get is when I attempt to browse the server for a location, I get an error about the connector not being enabled.
Other than this I can add in links, fill in the details and click ok to get the link to show. I just ran this test in my local IE 6 and 8 browsers, it looks like I have similar settings to what you have described. It may be worth trying to reload the page with a ctrl + F5 to see if it is some cached version of the page that is causing you problems. Another good test for this may be to have a page that has only the editor on it, this should help to eliminate any other issues that may be present in any other scripts on the page.