I have been using IE7 lately, and here is what I wish it had.

1) Warning on closing browser with more than one tab open.
2) Option to open every link in any program into a new tab

Not much - but big things.

One thing I wish IE had in general was an easier to use API to add extensions and add ons.

To make BHO’s, you need to hook onto IE and all that. I wish there was a more “managed” way to do it.