Trust us, it isn't because we like IE!
The truth is, it is the only browser that reliably supports private key generation on the customer's PC. Other CAs generate private keys on their servers and email them to you, and we are just not comfortable doing that from a security standpoint since that compromises the cornerstone of private/public key encryption -- that the private key never leaves the generator's possession. We also want to keep the process as simple as possible and while we can have customer download a key generation tool like OpenSSL, many purchasers of code signing certificates are not technical and we feel that would add much confusion to the process (yes, we have tested that option to horrible result!). Since IE is installed on every version of Windows, asking customers to use it seems like the best choice.
The certificate is in no way tied to IE after it is exported, it is merely the tool used to generate the private key and export the certificate to the PFX (PKCS12) format that you can use with signing tools.