Solution:
Verify that you have the right DOCTYPE. This is what a DOCTYPE looks like <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd">
Well it you do not specify a DOCTYPE, IE automatically uses quirks mode and quirks mode apparently does not support auto-magin centering.
http://ycsoftware.net/difference-between-quirks-mode-and-strict-mode/
http://www.quirksmode.org/css/quirksmode.html