Can't help much, but a couple of thoughts:
re: document.write() being slow, if it's something that noticeably slows Sublime Text down, it should be reasonable to move the communication with IE to another thread, so even if IE is taking its time to update, the editor isn't hampered.
re: MSIE dialog, http://menumachine.com/kb/146
has some information about it.
Another option is to create a webserver in python (via BaseHTTPServer), and serve up the files from http://localhost..
. may be a bit too keen though.