Thanks doodlebee for your considerations.
First, that language is not Spanish but Brazilian Portuguese. :-)
Anyway, it doesn't seem to make much sense the need of a script or something like that to turn IE able to play YouTube embedded videos as, as I mentioned, it actually does play them on non-WP-made sites.
The problem is WordPress, it seems.
In the case of the non-WP-site the code for the video was published as follows:
<p align="center"><object width="425" height="350"><param name="movie" value="http://www.youtube.com/v/qHO8l-Bd1O4"></param><param name="wmode" value="transparent"></param><embed src="http://www.youtube.com/v/qHO8l-Bd1O4" type="application/x-shockwave-flash" wmode="transparent" width="425" height="350"></embed></object>
(Which is exactly like YouTube supplies the code.)
But on my site WordPress does this after saving:
<p align="center">
<object width="425" height="350">
<param name="movie" value="http://www.youtube.com/v/qHO8l-Bd1O4"></param>
<param name="wmode" value="transparent"></param>
<embed src="http://www.youtube.com/v/qHO8l-Bd1O4" type="application/x-shockwave-flash" wmode="transparent" width="425" height="350"></embed></object>
What the differences are?
1. Wrapping;
2. An undesired "<p>" parameter in the middle of the code.
Wrapping doesn't seem to be the issue (please correct me if I'm wrong) but as WordPress won't let me get rid of that <p> (it always puts it back there) I can't test otherwise.
Ideas will be greatly appreciated.
Thanks!