According to my MSDN, that InternetExplorer object has a bunch of events:

     BeforeNavigate Fires before navigation occurs in the given object (on
either a window or frameset element).
     BeforeNavigate2 Fires before navigation occurs in the given object (on
either a window or frameset element).
     CommandStateChange Fires when the enabled state of a command changes.
     DocumentComplete Fires when a document has been completely loaded and
initialized.
     DownloadBegin Fires when a navigation operation is beginning.
     DownloadComplete Fires when a navigation operation finishes, is
halted, or fails.
     FileDownload Fires to indicate that a file download is about to occur.
If a file download dialog is to be displayed, this event is fired prior to
the display of the dialog.
     NavigateComplete Fires after a navigation to a link is completed on
either a window or frameSet element.
     NavigateComplete2 Fires after a navigation to a link is completed on
either a window or frameSet element.
     NavigateError   Fires when an error occurs during navigation.
     NewWindow Fires when a new window is to be created.
     NewWindow2 Fires when a new window is to be created.
     NewWindow3 Raised when a new window is to be created. Extends
NewWindow2 with additional information about the new window.
     OnFullScreen Fires when the FullScreen property is changed.
     OnMenuBar Fires when the MenuBar property is changed.
     OnQuit Fires before the Internet Explorer application quits.
     OnStatusBar Fires when the StatusBar property is changed.
     OnTheaterMode Fires when the TheaterMode property is changed.
     OnToolBar Fires when the ToolBar property is changed.
     OnVisible Fires when the Visible property of the object is changed.
     PrintTemplateInstantiation   Fires when a print template has been
instantiated.
     PrintTemplateTeardown   Fires when a print template has been
destroyed.
     PrivacyImpactedStateChange   Fired when an event occurs that impacts
privacy or when a user navigates away from a URL that has impacted privacy.
     ProgressChange Fires when the progress of a download operation is
updated on the object.
     PropertyChange Fires when the PutProperty method of the object changes
the value of a property.
     SetSecureLockIcon Fires when there is a change in encryption level.
     StatusTextChange Fires when the status bar text of the object has
changed.
     TitleChange Fires when the title of a document in the object becomes
available or changes.
     UpdatePageStatus   Not currently implemented.
     WindowActivate Not currently implemented.
     WindowMove Not currently implemented.
     WindowResize Not currently implemented.