Everything I am seeing leads me to information that you can not add IE to winpe. But, you can use the hta files. The best suggestion is to use firefox or another browser. I will keep looking to see if I can find some way to get IE to work, but from what I see now - It is probably non existant. Unless I missed something.
I haven't used it in a while, but I could swear that it was in it. Hmmm
When I built my winpe (actually, it was xpe) I used firefox as the browser. I was thinking that Sysinternals Suite (formerly Winternals) would have it. But it doesn't. I'll keep looking ...