Bad news are always bad news. I've tested the get and ajax features of jQuery in Internet Explorer 8 with XML files and I've found out that IE8 sometimes returns the infamous "Automation server can't create object" error. This error is related with the internal linking of IE8 to some libraries of the .NET Framework installed on the client machine.
So if these libraries are not updated or the linking is somewhat corrupted or broken, IE8 will return the aforementioned error.
Oh, but there are also good news: traditional parsing of an XMLDocument object with the usual Ajax routines coded by hand works well and also the Ajax features of Prototype (e.g. Ajax.Request). I'm sorry. Anyway, that's not jQuery's fault.