Below is my html structure
You read it wrong. It says that it's not supported in IE8:

If you were looking at :first-child, which does have support in IE7 and IE8, and thinking that the same applies to :last-child... surprise! It doesn't.
:first-child is a CSS2 selector, but :last-child was only introduced in CSS3, so since Microsoft was only aiming for CSS2.1 compliance with IE8, they likely didn't bother about :last-child until post-IE8.
If you know you will only have four li elements, then you should be able to use adjacent sibling selectors to reach the fourth li:
.footerMenu li:first-child + li + li + li