Yes, - well spotted. The black line at the bottom of the menu in IE, is the 'border-bottom: solid 1px black;' line which can be found in the rules for sections:
ul#cssmw ul li {
and
ul#cssmw li {
in your 'menu_ie.css' file. These lines (border-bottom: solid 1px black;') can be removed if you don't want them.
I had a thorough trip round the menu testing all levels, - but it all worked well from this end. If there's a particular bit that you find is not loading correctly, then post back with where I can see it.