I know FF is more forgiving when you have a javascript error. FF will still display the grid, however, IE is much more strict and forces you to correct all your javascript errors.
My bet is you have a javascript error somewhere. I know when I started, I had a javascript error in my colModel definition. I had a comma after the last element.FF displayed it fine, but IE did not like it.
Just something to check.
The include method didn't seem to be working for me. I just put all the needed references in my file instead.
It probably doesn't help that I don't understand how relative paths interact with the file. I assume it's relative to the main jqGrid.js file, but perhaps it isn't.
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