how do I access XHR responseBody (for binary data) from Javascript in IE?

Yes, the answer I came up with for reading binary data via XHR in IE, is to use VBScript injection. This was distasteful to me at first, but, I look at it as just one more browser dependent bit of code.
(The regular XHR and responseText works fine in other browsers; you may have to coerce the mime type with XMLHttpRequest.overrideMimeType(). This isn’t available on IE).

This is how I got a thing that works like responseText in IE, even for binary data.
First, inject some VBScript as a one-time thing, like this:

if(/msie/i.test(navigator.userAgent) && !/opera/i.test(navigator.userAgent)) {
    var IEBinaryToArray_ByteStr_Script =
    "<!-- IEBinaryToArray_ByteStr -->\r\n"+
    "<script type="text/vbscript" language="VBScript">\r\n"+
    "Function IEBinaryToArray_ByteStr(Binary)\r\n"+
    "   IEBinaryToArray_ByteStr = CStr(Binary)\r\n"+
    "End Function\r\n"+
    "Function IEBinaryToArray_ByteStr_Last(Binary)\r\n"+
    "   Dim lastIndex\r\n"+
    "   lastIndex = LenB(Binary)\r\n"+
    "   if lastIndex mod 2 Then\r\n"+
    "       IEBinaryToArray_ByteStr_Last = Chr( AscB( MidB( Binary, lastIndex, 1 ) ) )\r\n"+
    "   Else\r\n"+
    "       IEBinaryToArray_ByteStr_Last = "+'""'+"\r\n"+
    "   End If\r\n"+
    "End Function\r\n"+
    "</script>\r\n";

    // inject VBScript
    document.write(IEBinaryToArray_ByteStr_Script);
}

The JS class I’m using that reads binary files exposes a single interesting method, readCharAt(i), which reads the character (a byte, really) at the i’th index. This is how I set it up:

// see doc on http://msdn.microsoft.com/en-us/library/ms535874(VS.85).aspx
function getXMLHttpRequest() 
{
    if (window.XMLHttpRequest) {
        return new window.XMLHttpRequest;
    }
    else {
        try {
            return new ActiveXObject("MSXML2.XMLHTTP"); 
        }
        catch(ex) {
            return null;
        }
    }
}

// this fn is invoked if IE
function IeBinFileReaderImpl(fileURL){
    this.req = getXMLHttpRequest();
    this.req.open("GET", fileURL, true);
    this.req.setRequestHeader("Accept-Charset", "x-user-defined");
    // my helper to convert from responseBody to a "responseText" like thing
    var convertResponseBodyToText = function (binary) {
        var byteMapping = {};
        for ( var i = 0; i < 256; i++ ) {
            for ( var j = 0; j < 256; j++ ) {
                byteMapping[ String.fromCharCode( i + j * 256 ) ] =
                    String.fromCharCode(i) + String.fromCharCode(j);
            }
        }
        // call into VBScript utility fns
        var rawBytes = IEBinaryToArray_ByteStr(binary);
        var lastChr = IEBinaryToArray_ByteStr_Last(binary);
        return rawBytes.replace(/[\s\S]/g,
                                function( match ) { return byteMapping[match]; }) + lastChr;
    };

    this.req.onreadystatechange = function(event){
        if (that.req.readyState == 4) {
            that.status = "Status: " + that.req.status;
            //that.httpStatus = that.req.status;
            if (that.req.status == 200) {
                // this doesn't work
                //fileContents = that.req.responseBody.toArray(); 

                // this doesn't work
                //fileContents = new VBArray(that.req.responseBody).toArray(); 

                // this works...
                var fileContents = convertResponseBodyToText(that.req.responseBody);

                fileSize = fileContents.length-1;
                if(that.fileSize < 0) throwException(_exception.FileLoadFailed);
                that.readByteAt = function(i){
                    return fileContents.charCodeAt(i) & 0xff;
                };
            }
            if (typeof callback == "function"){ callback(that);}
        }
    };
    this.req.send();
}

// this fn is invoked if non IE
function NormalBinFileReaderImpl(fileURL){
    this.req = new XMLHttpRequest();
    this.req.open('GET', fileURL, true);
    this.req.onreadystatechange = function(aEvt) {
        if (that.req.readyState == 4) {
            if(that.req.status == 200){
                var fileContents = that.req.responseText;
                fileSize = fileContents.length;

                that.readByteAt = function(i){
                    return fileContents.charCodeAt(i) & 0xff;
                }
                if (typeof callback == "function"){ callback(that);}
            }
            else
                throwException(_exception.FileLoadFailed);
        }
    };
    //XHR binary charset opt by Marcus Granado 2006 [http://mgran.blogspot.com] 
    this.req.overrideMimeType('text/plain; charset=x-user-defined');
    this.req.send(null);
}

The conversion code was provided by Miskun.

Very fast, works great.

I used this method to read and extract zip files from Javascript, and also in a class that reads and displays EPUB files in Javascript. Very reasonable performance. About half a second for a 500kb file.