What you can do (and I have done) is to have the link not work if the person clicking on it is not using Internet Explorer and open a new window, reveal a DIV or pop up an alert() informing them they must be using Internet Explorer for the target site to work.
Something like:
some link
window.external.AddFavorite is (as far as I know) only available in Internet Explorer, so using it to detect IE should be fairly safe. You could also examine navigator.userAgent for MSIE, however some browsers such as Opera might spoof the IE user agent.