All the links I see in IE9 have the http.
most of the urls in your site seem to be reduced to relative links; and in one textwidget in the footer, the link is shortened to <a href="//www.wordpress.com/">
although all links show fully when hovering over the links.
do you have any plugins activated that could possibly interfere with urls?
some ‘pagespeed’ plugin?
as normal troubleshooting, try to deactivate all plugins, and if that solves the problem, reactive one after the other to find the trouble plugin.
You were right alchymth. I have mod_pagespeed loaded as an apache module and disabling that corrected the links. Time to go file a bug with the PageSpeed team. 😛